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Risk-Sensitive Control of an Ergodic Diffusion over an Infinite Horizon

✍ Scribed by G. B. Di Masi; Ł. Stettner


Book ID
110301176
Publisher
Springer US
Year
2001
Tongue
English
Weight
132 KB
Volume
105
Category
Article
ISSN
1573-8795

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📜 SIMILAR VOLUMES


Infinite horizon risk sensitive control
✍ G.B.Di Masi; Ł. Stettner 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 96 KB

A control problem with risk sensitive ergodic performance criterion is considered for a discrete time Feller process. Using assumptions of uniform ergodicity and small risk factor, the existence and uniqueness of the solution to the Bellman equation is proved. Uniform approximations to such solution