dc.contributor.author |
Arapostathis, Ari |
en_US |
dc.contributor.author |
BISWAS, ANUP |
en_US |
dc.contributor.author |
Borkar, Vivek S. |
en_US |
dc.contributor.author |
Kumar, K. Suresh |
en_US |
dc.date.accessioned |
2021-01-15T05:45:29Z |
|
dc.date.available |
2021-01-15T05:45:29Z |
|
dc.date.issued |
2020 |
en_US |
dc.identifier.citation |
SIAM Journal on Control and Optimization, 58(6), 3785–3813. |
en_US |
dc.identifier.issn |
0363-0129 |
en_US |
dc.identifier.issn |
1095-7138 |
en_US |
dc.identifier.uri |
http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/5517 |
|
dc.identifier.uri |
https://doi.org/10.1137/20M1329202 |
en_US |
dc.description.abstract |
We address the variational formulation of the risk-sensitive reward problem for nondegenerate diffusions on $\mathbb{R}^d$ controlled through the drift. We establish a variational formula on the whole space and also show that the risk-sensitive value equals the generalized principal eigenvalue of the semilinear operator. This can be viewed as a controlled version of the variational formulas for principal eigenvalues of diffusion operators arising in large deviations. We also revisit the average risk-sensitive minimization problem, and by employing a gradient estimate developed in this paper, we extend earlier results to unbounded drifts and running costs. |
en_US |
dc.language.iso |
en |
en_US |
dc.publisher |
Society for Industrial and Applied Mathematics |
en_US |
dc.subject |
Mathematics |
en_US |
dc.subject |
2020 |
en_US |
dc.subject |
2021-JAN-WEEK2 |
en_US |
dc.subject |
TOC-JAN-2021 |
en_US |
dc.title |
A Variational Characterization of the Risk-Sensitive Average Reward for Controlled Diffusions on $\mathbb{R}^d$ |
en_US |
dc.type |
Article |
en_US |
dc.contributor.department |
Dept. of Mathematics |
en_US |
dc.identifier.sourcetitle |
SIAM Journal on Control and Optimization |
en_US |
dc.publication.originofpublisher |
Foreign |
en_US |