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arXiv · 2207.07545

Ergodic Risk-Sensitive Control for Regime-Switching Diffusions

Anup Biswas·Somnath Pradhan
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Abstract

In this article, we study the ergodic risk-sensitive control problem for controlled regime-switching diffusions. Under a blanket stability hypothesis, we solve the associated nonlinear eigenvalue problem for weakly coupled systems and characterize the optimal stationary Markov controls via a suitable verification theorem. We also consider the near-monotone case and obtain the existence of principal eigenfunction and optimal stationary Markov controls.

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Anup Biswas, Somnath Pradhan. 2022-07-15. Ergodic Risk-Sensitive Control for Regime-Switching Diffusions. https://arxiv.org/abs/2207.07545

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