Remarks on risk-sensitive control problems
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Publication:816965
Diffusion processes (60J60) Dynamic programming (90C39) Asymptotic behavior of solutions to PDEs (35B40) Nonlinear elliptic equations (35J60) Dynamic programming in optimal control and differential games (49L20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
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- Risk-sensitive control of continuous time Markov chains
- A nonzero-sum risk-sensitive stochastic differential game in the orthant
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- Dissipativity and risk-sensitivity in control problems
- Zero-sum risk-sensitive stochastic games on a countable state space
- Some results on risk-sensitive control with full observation
- Risk-sensitive zero-sum stochastic differential game for jump-diffusions
- Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain
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