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Large time asymptotic problems for optimal stochastic control with superlinear cost
6 references·3 citing·32 second hop
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this work references cited by second hop

References

  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1994Controlled markov processes and viscosity solutions1,024 cited
  • 1995Risk-Sensitive Control on an Infinite Time Horizon301 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
  • 2010Asymptotics of the probability minimizing a “down-side” risk42 cited

Cited by

  • 2016Long time asymptotics for fully nonlinear Bellman equations: A backward SDE approach33 cited
  • 2017Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions28 cited
  • 2014On the Solvability of Some Ergodic Control Problems in $\mathbb{R}^d$26 cited

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