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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Official URL: https://doi.org/10.1007/s00245-019-09606-w
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 |
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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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