Risk-Sensitive Ergodic Control of Reflected Diffusion Processes in Orthant

Pradhan, S (2021) Risk-Sensitive Ergodic Control of Reflected Diffusion Processes in Orthant. In: Applied Mathematics and Optimization, 83 (3). pp. 1739-1764.

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Abstract

We study risk-sensitive ergodic control problem for controlled diffusion processes in the non-negative orthant. We consider ergodic cost evaluation criteria. Under certain assumptions we first establish the existence of a solution of the corresponding HJB equation. In addition we completely characterize the optimal control in the space of stationary Markov controls. © 2019, Springer Science+Business Media, LLC, part of Springer Nature.

Item Type:	Journal Article
Publication:	Applied Mathematics and Optimization
Publisher:	Springer
Additional Information:	The copyright for this article belongs to Springer.
Keywords:	Diffusion; Dynamic programming; Eigenvalues and eigenfunctions, Bellman equations; Controlled diffusion; Diffusion process; Existence of a solutions; Optimal controls; Principal eigenvalues; Reflected diffusion; Stationary controls, Process control
Department/Centre:	Division of Physical & Mathematical Sciences > Mathematics
Date Deposited:	02 Mar 2023 09:50
Last Modified:	02 Mar 2023 09:50
URI:	https://eprints.iisc.ac.in/id/eprint/80834

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