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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.
Keywords:Controlled diffusions;Risk-sensitive control;Optimal control;Small risk condition;Minorization condition