Remarks on risk-sensitive control problems
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Publication:816965
DOI10.1007/S00245-005-0829-YzbMATH Open1083.35021OpenAlexW2011434447MaRDI QIDQ816965FDOQ816965
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 an ergodic diffusion over an infinite horizon
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- Dissipativity and risk-sensitivity in control problems
- Zero-sum risk-sensitive stochastic games on a countable state space
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- 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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