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An eigenvalue approach to the risk sensitive control problem in near monotone case
4 references·1 citing·17 second hop
An eigenvalue approach to the risk sensitive control problem in near monotone case (2011)An eigenvalue approach to the risk sensit…Risk-Sensitive Control with Near Monotone Cost (2009)Risk-Sensitive Control with N…Remarks on Risk-Sensitive Control Problems (2005)Remarks on Risk-Sensitive Con…Risk-Sensitive Control on an Infinite Time Horizon (1995)Risk-Sensitive Control on an …Optimal Control of Diffusion Processes (1989)Optimal Control of Diffusion …Zero-Sum Stochastic Differential Games with Risk-Sensitive Cost (2018)Zero-Sum Stochastic Different…ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS (1981)Risk-Sensitive Dynamic Asset Management (1999)Zero-Sum Risk-Sensitive Stochastic Differential Games (2012)Zero-sum risk-sensitive stochastic games on a countable state space (2013)Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions (2017)Controlled Diffusion Processes (1980)Brownian Motion and Stochastic Calculus (1988)Connections between stochastic control and dynamic games (1996)Stochastic Analysis, Control, Optimization and Applications (1999)BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations (2003)Brownian Motion and Stochastic Calculus (2007)Minimax Theorems (1953)Infinite Dimensional Analysis (1999)Risk-Sensitive Control of Pure Jump Process on Countable Space with Near Monotone Cost (2013)An Application of Stochastic Control Theory to Financial Economics (2004)On some recent aspects of stochastic control and their applications (2005)Optimal partially reversible investment with entry decision and general production function (2005)
this work references cited by second hop

References

  • 1995Risk-Sensitive Control on an Infinite Time Horizon301 cited
  • 1989Optimal Control of Diffusion Processes169 cited
  • 2005Remarks on Risk-Sensitive Control Problems36 cited
  • 2009Risk-Sensitive Control with Near Monotone Cost30 cited

Cited by

  • 2018Zero-Sum Stochastic Differential Games with Risk-Sensitive Cost20 cited

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