Risk sensitive control of diffusions with small running cost
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Publication:647494
DOI10.1007/s00245-010-9127-4zbMath1232.93094MaRDI QIDQ647494
Publication date: 23 November 2011
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-010-9127-4
optimal control; risk-sensitive control; controlled diffusions; minorization condition; small risk condition
62H10: Multivariate distribution of statistics
49K40: Sensitivity, stability, well-posedness
93E20: Optimal stochastic control
49J45: Methods involving semicontinuity and convergence; relaxation
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