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http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/8090| Title: | Ergodic risk-sensitive control-A survey |
| Authors: | BISWAS, ANUP Borkar, Vivek S. Dept. of Mathematics |
| Keywords: | Risk-sensitive control Bellman equation Generalized principal eigenvalue Multiplicative dynamic programming Verification theorem Markov decision process 2023-JUL-WEEK2 TOC-JUL-2023 2023 |
| Issue Date: | May-2023 |
| Publisher: | Elsevier B.V. |
| Citation: | Annual Reviews in Control, 55, 118-141. |
| Abstract: | Risk-sensitive control has received considerable interest since the seminal work of Howard and Matheson (Howard and Matheson, 1971/72) because of its ability to account for fluctuations about the mean, its connection with �∞ control, and its application to financial mathematics. In this article we attempt to put together a comprehensive survey on the research done on ergodic risk-sensitive control over the last four decades. |
| URI: | https://doi.org/10.1016/j.arcontrol.2023.03.001 http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/8090 |
| ISSN: | 1367-5788 1872-9088 |
| Appears in Collections: | JOURNAL ARTICLES |
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