Risk-sensitive control of reflected diffusion processes on orthrant
Optimization and Control
2017-01-06 v1
Abstract
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.
Cite
@article{arxiv.1701.01213,
title = {Risk-sensitive control of reflected diffusion processes on orthrant},
author = {Sunil Kumar Gauttam and K. Suresh Kumar and Chandan Pal},
journal= {arXiv preprint arXiv:1701.01213},
year = {2017}
}