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- Publisher
- Springer Journals
- Copyright
- Copyright © 2010 by Springer Science+Business Media, LLC
- Subject
- Mathematics; Numerical and Computational Physics; Mathematical Methods in Physics; Theoretical, Mathematical and Computational Physics; Systems Theory, Control; Calculus of Variations and Optimal Control; Optimization
- ISSN
- 0095-4616
- eISSN
- 1432-0606
- DOI
- 10.1007/s00245-009-9096-7
- Publisher site
- See Article on Publisher Site
Abstract
The infinite horizon risk-sensitive control problem for non-degenerate controlled diffusions is analyzed under a ‘near monotonicity’ condition on the running cost that penalizes large excursions of the process.
Journal
Applied Mathematics and Optimization – Springer Journals
Published: Oct 1, 2010