Ergodic Risk-Sensitive Control for Regime-Switching Diffusions

2022/07/15 by Anup Biswas, Biswas, Anup, Somnath Pradhan +1 · 1 citation
Biochemistry, Genetics and Molecular Biology · Engineering · #Gene Regulatory Network Analysis #Stability and Controllability of Differential Equations #Advanced Control Systems Optimization

paper · pdf · doi:10.48550/arxiv.2207.07545

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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