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Risk-Sensitive Control with Near Monotone Cost |
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| Authors: | Anup Biswas V. S. Borkar K. Suresh Kumar |
| Affiliation: | 1. Tata Institute of Fundamental Research, Centre for Applicable Mathematics, Bangalore, 560065, India 2. School of Technology and Computer Science, Tata Institute of Fundamental Research, Mumbai, 400005, India 3. Department of Mathematics, Indian Institute of Technology Bombay, Mumbai, 400076, India |
| 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. |
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