Ergodic risk-sensitive control for regime-switching diffusions

Simple item page
dc.contributor.authorBISWAS, ANUPen_US
dc.contributor.authorPradhan, Somnathen_US
dc.contributor.departmentDept. of Mathematicsen_US
dc.date.accessioned2022-12-28T09:21:55Z
dc.date.available2022-12-28T09:21:55Z
dc.date.issued2022-12en_US
dc.description.abstractIn 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.en_US
dc.identifier.citationSystems & Control Letters, 170,105399.en_US
dc.identifier.issn0167-6911en_US
dc.identifier.issn1872-7956en_US
dc.identifier.sourcetitleSystems & Control Lettersen_US
dc.identifier.urihttps://doi.org/10.1016/j.sysconle.2022.105399
dc.identifier.urihttp://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/7540
dc.language.isoenen_US
dc.publication.originofpublisherForeignen_US
dc.publisherElsevier B.V.en_US
dc.subjectPrincipal eigenvalueen_US
dc.subjectSwitching diffusionsen_US
dc.subjectVerification resultsen_US
dc.subject2022-DEC-WEEK3en_US
dc.subjectTOC-DEC-2022en_US
dc.subject2022en_US
dc.titleErgodic risk-sensitive control for regime-switching diffusionsen_US
dc.typeArticleen_US

Files

Collections

JOURNAL ARTICLES