Biswas, Anup ; Borkar, V. S. ; Suresh Kumar, K. (2010) Risk-sensitive control with near monotone cost Applied Mathematics and Optimization, 62 (2). pp. 145-163. ISSN 0095-4616
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Official URL: http://www.springerlink.com/content/08r175ph079059...
Related URL: http://dx.doi.org/10.1007/s00245-009-9096-7
Abstract
The infinite horizon risk-sensitive control problem for non-degenerate controlled diffusions is analyzed under a 'near monotonicity' condition on the running cost that penalizes large excursions of the process.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Springer. |
| Keywords: | Risk-Sensitive Control; Ergodic Game; Near Monotonicity; HJB Equation; Optimal Control; Stationary Markov Control |
| ID Code: | 81474 |
| Deposited On: | 07 Feb 2012 05:01 |
| Last Modified: | 07 Feb 2012 05:01 |
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