Remarks on risk-sensitive control problems
DOI10.1007/S00245-005-0829-YzbMATH Open1083.35021OpenAlexW2011434447MaRDI QIDQ816965FDOQ816965
Authors: M. Robin, José-Luis Menaldi 
Publication date: 2 March 2006
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://digitalcommons.wayne.edu/mathfrp/55
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Cited In (29)
- Risk-sensitive stochastic differential games with reflecting diffusions
- Risk-sensitive control of an ergodic diffusion over an infinite horizon
- Nonzero-sum risk-sensitive stochastic differential games: a multi-parameter eigenvalue problem approach
- Risk-sensitive ergodic control of reflected diffusion processes in orthant
- 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
- A nonzero-sum risk-sensitive stochastic differential game in the orthant
- An eigenvalue approach to the risk sensitive control problem in near monotone case
- Risk-Sensitive Discounted Continuous-Time Markov Decision Processes with Unbounded Rates
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- Some results on risk-sensitive control with full observation
- Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain
- Risk-sensitive control with near monotone cost
- Risk-sensitive control of pure jump process on countable space with near monotone cost
- A new approach to estimation of the effectiveness of control decisions under conditions of risk in ACS's
- Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions
- Risk-sensitive semi-Markov decision problems with discounted cost and general utilities
- Risk-sensitive zero-sum stochastic differential game for jump-diffusions
- Risk sensitive control of diffusions with small running cost
- Zero-sum risk-sensitive stochastic games on a countable state space
- Zero-sum semi-Markov games with a probability criterion
- Risk-sensitive control and an abstract Collatz-Wielandt formula
- Dissipativity and risk-sensitivity in control problems
- Zero-sum risk-sensitive stochastic differential games
- Risk-Sensitive LQG Discounted Control Problems and Their Asymptotic Behavior
- Risk-sensitive control of continuous time Markov chains
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