Risk-sensitive control for a class of diffusions with jumps
Author:
Affiliation:
1. Department of Electrical and Computer Engineering, University of Texas at Austin
2. Department of Mathematics, Indian Institute of Science Education and Research Pune
Publisher
Institute of Mathematical Statistics
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Reference74 articles.
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2. Kaise, H. and Sheu, S.-J. (2006). On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control. Ann. Probab. 34 284–320.
3. Donsker, M. D. and Varadhan, S. R. S. (1976). On the principal eigenvalue of second-order elliptic differential operators. Comm. Pure Appl. Math. 29 595–621.
4. CAFFARELLI, L. and SILVESTRE, L. (2009). Regularity theory for fully nonlinear integro-differential equations. Comm. Pure Appl. Math. 62 597–638.
5. BIELECKI, T. R. and PLISKA, S. R. (1999). Risk-sensitive dynamic asset management. Appl. Math. Optim. 39 337–360.
Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Ergodic risk-sensitive control—A survey;Annual Reviews in Control;2023
2. Ergodic risk-sensitive control for regime-switching diffusions;Systems & Control Letters;2022-12
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