Published August 2011
| Version v1
Journal article
Risk Sensitive Control of Diffusions with Small Running Cost
Description
Infinite horizon risk-sensitive control of diffusions is analyzed under a stability condition coupled with a bound on the running cost. It is shown that the corresponding Hamilton-Jacobi-Bellman equation has a solution (w(⋅),λ∗) where the scalar λ∗ is in fact the optimal cost. This also leads to an existence result for optimal controls.
Additional details
Identifiers
Publishing Information
- Journal Title
- Applied Mathematics and Optimization
- Journal Volume
- 64
- Journal Issue
- 1
- Journal Page Range
- p. 1-12
- ISSN
- 0095-4616
INIS
- Country of Publication
- United States
- Country of Input or Organization
- International Atomic Energy Agency (IAEA)
- INIS RN
- 44003374
- Subject category
- S97: MATHEMATICAL METHODS AND COMPUTING;
- Descriptors DEI
- DIFFUSION; HAMILTON-JACOBI EQUATIONS; MATHEMATICAL SOLUTIONS; OPTIMAL CONTROL; SCALARS; STABILITY
- Descriptors DEC
- CONTROL; DIFFERENTIAL EQUATIONS; EQUATIONS; PARTIAL DIFFERENTIAL EQUATIONS
Optional Information
- Copyright
- Copyright (c) 2011 Springer Science+Business Media, LLC