Ergodic Risk-Sensitive Control for Regime-Switching Diffusions
Optimization and Control
2022-07-18 v1
Abstract
In this article, we study the ergodic risk-sensitive control problem for controlled regime-switching diffusions. Under a blanket stability hypothesis, we solve the associated nonlinear eigenvalue problem for weakly coupled systems and characterize the optimal stationary Markov controls via a suitable verification theorem. We also consider the near-monotone case and obtain the existence of principal eigenfunction and optimal stationary Markov controls.
Cite
@article{arxiv.2207.07545,
title = {Ergodic Risk-Sensitive Control for Regime-Switching Diffusions},
author = {Anup Biswas and Somnath Pradhan},
journal= {arXiv preprint arXiv:2207.07545},
year = {2022}
}