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On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control

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References

1995Risk-Sensitive Control on an Infinite Time Horizon301 cited
1999Risk-Sensitive Dynamic Asset Management290 cited
2000Risk‐Sensitive Control and an Optimal Investment Model163 cited
1999Optimal long term growth rate of expected utility of wealth102 cited
2003Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models91 cited

Cited by

20162 LARGE DEVIATIONS AND IMPORTANCE SAMPLING FOR SYSTEMS OF SLOW-FAST MOTION43 cited
2010Asymptotics of the probability minimizing a “down-side” risk42 cited
2012Large Deviations and Importance Sampling for Systems of Slow-Fast Motion42 cited
2005Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation40 cited
2007Solving long term optimal investment problems with Cox-Ingersoll-Ross interest rates36 cited
2017Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions28 cited
2012On the Hamilton--Jacobi--Bellman Equation for an Optimal Consumption Problem: I. Existence of Solution27 cited
2014On the Solvability of Some Ergodic Control Problems in $\mathbb{R}^d$26 cited
2010Explicit Solution to a Certain Non-ELQG Risk-sensitive Stochastic Control Problem23 cited

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