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A Variational Characterization of the Risk-Sensitive Average Reward for Controlled Diffusions on $\mathbb{R}^d$
6 references·0 citing·19 second hop
A Variational Characterization of the Risk-Sensitive Average Reward for Controlled Diffusions on $\mathbb{R}^d$ (2020)A Variational Characterization of the Ris…Zero-Sum Stochastic Differential Games with Risk-Sensitive Cost (2018)Zero-Sum Stochastic Different…Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions (2017)Infinite horizon risk-sensiti…Ergodic Control of Diffusion Processes (2011)Ergodic Control of Diffusion …An eigenvalue approach to the risk sensitive control problem in near monotone case (2011)An eigenvalue approach to the…A Collatz-Wielandt characterization of the spectral radius of order-preserving homogeneous maps on cones (2011)A Collatz-Wielandt characteri…Risk-Sensitive Control on an Infinite Time Horizon (1995)Risk-Sensitive Control on an …Stochastic Differential Equations and Diffusion Processes (1983)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Brownian Motion and Stochastic Calculus (2007)Characterizations of Overtaking Optimality for Controlled Diffusion Processes (2007)Homogenization and Asymptotics for Small Transaction Costs (2013)Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case (2015)Equilibrium Stability and Growth. A Multi-sectoral Analysis. (1965)An operator approach to zero-sum repeated games (2001)Optimal Control of Diffusion Processes (1989)Remarks on Risk-Sensitive Control Problems (2005)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)Statistics of Random Processes (2001)Strong solutions of stochastic equations with singular time dependent drift (2004)Minimax Theorems (1953)Infinite Dimensional Analysis (1999)
this work references cited by second hop

References

  • 1995Risk-Sensitive Control on an Infinite Time Horizon303 cited
  • 2011Ergodic Control of Diffusion Processes177 cited
  • 2011A Collatz-Wielandt characterization of the spectral radius of order-preserving homogeneous maps on cones30 cited
  • 2017Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions28 cited
  • 2011An eigenvalue approach to the risk sensitive control problem in near monotone case21 cited
  • 2018Zero-Sum Stochastic Differential Games with Risk-Sensitive Cost20 cited

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