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Risk-Sensitive Ergodic Control of Reflected Diffusion Processes in Orthant

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Abstract

We study risk-sensitive ergodic control problem for controlled diffusion processes in the non-negative orthant. We consider ergodic cost evaluation criteria. Under certain assumptions we first establish the existence of a solution of the corresponding HJB equation. In addition we completely characterize the optimal control in the space of stationary Markov controls.

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Acknowledgements

The author would like to thank Professor Mrinal Kanti Ghosh for his suggestions and useful discussions. The author would also like to thank an anonymous referee for pointing out some errors in an earlier version of this paper. Referee’s review helped us to improve the paper. This work is partially supported by UGC Center for Advanced Study.

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  1. Department of Mathematics, Indian Institute of Science, Bangalore, 560012, India

    Somnath Pradhan

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Correspondence to Somnath Pradhan.

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Pradhan, S. Risk-Sensitive Ergodic Control of Reflected Diffusion Processes in Orthant. Appl Math Optim 83, 1739–1764 (2021). https://doi.org/10.1007/s00245-019-09606-w

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