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Discounted Risk-Sensitive Optimal Control of Switching Diffusions: Viscosity Solution and Numerical Approximation

Discounted Risk-Sensitive Optimal Control of Switching Diffusions: Viscosity Solution and Numerical Approximation

This work considers the infinite horizon discounted risk-sensitive optimal control problem for the switching diffusions with a compact control space and controlled through the drift; thus, the the generator of the switching diffusions also depends on the controls. Note that the running cost of interest can be unbounded, so a …