An eigenvalue approach to the risk sensitive control problem in near monotone case

被引：18

作者：

Biswas, Anup ^{[1
]}

机构：

[1] TIFR Ctr Applicable Math, Bangalore 560065, Karnataka, India

来源：

SYSTEMS & CONTROL LETTERS | 2011年 / 60卷 / 03期

关键词：

Risk sensitive control; Controlled diffusions; Nonlinear eigenvalue problem; Hamilton-Jacobi-Bellman equation; Optimal Markov control; TIME MARKOV-PROCESSES; INFINITE-HORIZON RISK;

D O I：

10.1016/j.sysconle.2010.12.002

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Risk sensitive control problem under near monotonicity condition is considered. We prove existence of a solution to the corresponding Hamilton-Jacobi-Bellman equation by an eigenvalue approach. Existence of an optimal control has also been proved. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：181 / 184

页数：4

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