Please use this identifier to cite or link to this item: 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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