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Applied Mathematics and Optimization, Vol.62, No.2, 145-163, 2010
Risk-Sensitive Control with Near Monotone Cost
The infinite horizon risk-sensitive control problem for non-degenerate controlled diffusions is analyzed under a 'near monotonicity' condition on the running cost that penalizes large excursions of the process.
Keywords:Risk-sensitive control;Ergodic game;Near monotonicity;HJB equation;Optimal control;Stationary Markov control