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

被引：19
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.
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页码：181 / 184
页数：4
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