Risk sensitive control of diffusions with small running cost
From MaRDI portal
(Redirected from Publication:647494)
Recommendations
- Risk-sensitive control of an ergodic diffusion over an infinite horizon
- Risk-sensitive control for a class of diffusions with jumps
- Risk-sensitive control of reflected diffusion processes on orthrant
- A variational formula for risk-sensitive control of diffusions in \(\mathbb{R}^d\)
- Risk-sensitive ergodic control of reflected diffusion processes in orthant
- Ergodic risk-sensitive control for regime-switching diffusions
- Risk-sensitive control with near monotone cost
- Risk-sensitive and robust escape control for degenerate diffusion processes
- Risk sensitive stochastic control and differential games
Cites work
- scientific article; zbMATH DE number 42423 (Why is no real title available?)
- An eigenvalue approach to the risk sensitive control problem in near monotone case
- Bellman Equations of Risk-Sensitive Control
- Erratum to: Risk-sensitive control with near monotone cost
- Erratum to: Risk-sensitive control with near monotone cost
- Infinite Horizon Risk Sensitive Control of Discrete Time Markov Processes under Minorization Property
- Infinite horizon risk sensitive control of discrete time Markov processes with small risk
- Markov chains and stochastic stability
- Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models
- Remarks on risk-sensitive control problems
- Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon
- Risk-Sensitive Control on an Infinite Time Horizon
- Risk-sensitive control with near monotone cost
- Risk-sensitive portfolio optimization problems with fixed income securities
- Singular perturbations in risk-sensitive stochastic control
Cited in
(20)- Risk-sensitive control of an ergodic diffusion over an infinite horizon
- A variational formula for risk-sensitive control of diffusions in \(\mathbb{R}^d\)
- Nonzero-sum risk-sensitive stochastic differential games: a multi-parameter eigenvalue problem approach
- Ergodic risk-sensitive control for regime-switching diffusions
- Risk-sensitive control for a class of diffusions with jumps
- On the policy improvement algorithm for ergodic risk-sensitive control
- Nonzero-sum risk-sensitive stochastic differential games with discounted costs
- Strict monotonicity of principal eigenvalues of elliptic operators in \(\mathbb R^d\) and risk-sensitive control
- An eigenvalue approach to the risk sensitive control problem in near monotone case
- Risk-sensitive ergodic control of continuous time Markov processes with denumerable state space
- Risk-Sensitive Control on an Infinite Time Horizon
- Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions
- Risk-sensitive control of reflected diffusion processes on orthrant
- Zero-sum stochastic differential games with risk-sensitive cost
- Risk-sensitive zero-sum stochastic differential game for jump-diffusions
- Optimal controls for diffusion in R^ d- a min-max max-min formula for the minimal cost growth rate
- Indefinite risk-sensitive control
- Zero-sum risk-sensitive stochastic differential games
- A variational characterization of the risk-sensitive average reward for controlled diffusions on \(\mathbb{R}^d\)
- Bounds for a risk-sensitive homing problem
This page was built for publication: Risk sensitive control of diffusions with small running cost
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q647494)
