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http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/7540| Title: | Ergodic risk-sensitive control for regime-switching diffusions |
| Authors: | BISWAS, ANUP Pradhan, Somnath Dept. of Mathematics |
| Keywords: | Principal eigenvalue Switching diffusions Verification results 2022-DEC-WEEK3 TOC-DEC-2022 2022 |
| Issue Date: | Dec-2022 |
| Publisher: | Elsevier B.V. |
| Citation: | Systems & Control Letters, 170,105399. |
| 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. |
| URI: | https://doi.org/10.1016/j.sysconle.2022.105399 http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/7540 |
| ISSN: | 0167-6911 1872-7956 |
| Appears in Collections: | JOURNAL ARTICLES |
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