Infinite horizon risk-sensitive control of diffusions is analyzed under a stability condition coupled with a bound on the running cost. It is shown that the corresponding Hamilton-Jacobi-Bellman equation has a solution ( w (⋅), λ ∗ ) where the scalar λ ∗ is in fact the optimal cost. This also leads to an existence result for optimal controls.
Applied Mathematics and Optimization – Springer Journals
Published: Aug 1, 2011
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