Risk-sensitive control of reflected diffusion processes on orthrant

MaRDI QIDQ4639421zbMATH OpenFDO

Authors Kumar Gauttam, K. Suresh Kumar, Chandan Pal

Publication date 9 May 2018

Full work available at URL https://arxiv.org/abs/1701.01213, http://www.yokohamapublishers.jp/online2/oppafa/vol2/p477.html

zbMATH Keywords

diffusion in the orthrantdiscounted risk-sensitive controlrisk sensitive control

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Optimal stochastic control (93E20)

Abstract: In this article, we prove the existence of optimal risk-sensitive control with state constraints. We use near monotone assumption on the running cost to prove the existence of optimal risk-sensitive control.

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(6)

• Risk-sensitive ergodic control of reflected diffusion processes in orthant
• A nonzero-sum risk-sensitive stochastic differential game in the orthant
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• Zero-sum risk-sensitive stochastic differential games with reflecting diffusions in the orthant
• Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain
• Risk sensitive control of diffusions with small running cost

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