화학공학소재연구정보센터
Applied Mathematics and Optimization, Vol.64, No.1, 1-12, 2011
Risk Sensitive Control of Diffusions with Small Running Cost
Infinite horizon risk-sensitive control of diffusions is analyzed under a stability condition coupled with a bound on the running cost. It is shown that the corresponding Hamilton-Jacobi-Bellman equation has a solution (w(a <...),lambda (au)) where the scalar lambda (au) is in fact the optimal cost. This also leads to an existence result for optimal controls.