English

Risk-sensitive control for a class of diffusions with jumps

Optimization and Control 2021-03-02 v2 Analysis of PDEs Probability

Abstract

We consider a class of diffusions controlled through the drift and jump size, and driven by a jump L\'evy process and a nondegenerate Wiener process, and we study infinite horizon (ergodic) risk-sensitive control problem for this model. We start with the controlled Dirichlet eigenvalue problem in smooth bounded domains, which also allows us to generalize current results in the literature on exit rate control problems. Then we consider the infinite horizon average risk-sensitive minimization problem and maximization problems on the whole domain. Under suitable hypotheses, we establish existence and uniqueness of a principal eigenfunction for the Hamilton-Jacobi-Bellman (HJB) operator on the whole space, and fully characterize stationary Markov optimal controls as the measurable selectors of this HJB equation.

Keywords

Cite

@article{arxiv.1910.05004,
  title  = {Risk-sensitive control for a class of diffusions with jumps},
  author = {Ari Arapostathis and Anup Biswas},
  journal= {arXiv preprint arXiv:1910.05004},
  year   = {2021}
}

Comments

33 pages

R2 v1 2026-06-23T11:40:38.181Z