Applied Mathematics and Optimization, Vol.83, No.3, 1739-1764, 2021
Risk-Sensitive Ergodic Control of Reflected Diffusion Processes in Orthant
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.
Keywords:Reflecting diffusion processes;Risk-sensitive criterion;Stationary control;Hamilton–;Jacobi–;Bellman equation;Principal eigenvalue