Long-Run Risk-Sensitive Impulse Control
Author:
Funder
Narodowe Centrum Nauki
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
https://epubs.siam.org/doi/pdf/10.1137/19M1305355
Reference27 articles.
1. A Variational Formula for Risk-Sensitive Control of Diffusions in $\mathbb{R}^d$
2. Zero-Sum Markov Games with Impulse Controls
3. A General Verification Result for Stochastic Impulse Control Problems
4. Adaptive Robust Control under Model Uncertainty
5. Risk-Sensitive Dynamic Asset Management
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