Risk-sensitive control of reflected diffusion processes on orthrant

Autor:	Gauttam, Sunil Kumar, Kumar, K. Suresh, Pal, Chandan
Rok vydání:	2017
Předmět:	Mathematics - Optimization and Control
Druh dokumentu:	Working Paper
Popis:	In this article, we prove the existence of optimal risk-sensitive control with state constraints. We use near monotone assumption on the running cost to prove the existence of optimal risk-sensitive control.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1701.01213 Zobrazit plný text záznamu View this record from Arxiv