Ergodic Risk-sensitive control -- A survey

2022/12/31 by Anup Biswas, Biswas, Anup, Vivek S. Borkar +1 · 2 citations
Economics, Econometrics and Finance · #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2301.00224

openalex publication_date 2022/12/31 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

Risk-sensitive control has received considerable interest since the seminal work of Howard and Matheson [120] because of its ability to account for fluctuations about the mean, its connection with H_∞ control, and its application to financial mathematics. In this article, we attempt to put together a comprehensive survey on the research done on ergodic risk-sensitive control over the last four decades.

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