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- W4288093459 abstract "We consider a class of diffusions controlled through the drift and jump size, and driven by a jump L'evy process and a nondegenerate Wiener process, and we study infinite horizon (ergodic) risk-sensitive control problem for this model. We start with the controlled Dirichlet eigenvalue problem in smooth bounded domains, which also allows us to generalize current results in the literature on exit rate control problems. Then we consider the infinite horizon average risk-sensitive minimization problem and maximization problems on the whole domain. Under suitable hypotheses, we establish existence and uniqueness of a principal eigenfunction for the Hamilton-Jacobi-Bellman (HJB) operator on the whole space, and fully characterize stationary Markov optimal controls as the measurable selectors of this HJB equation." @default.
- W4288093459 created "2022-07-28" @default.
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- W4288093459 date "2019-10-11" @default.
- W4288093459 modified "2023-09-25" @default.
- W4288093459 title "Risk-sensitive control for a class of diffusions with jumps" @default.
- W4288093459 doi "https://doi.org/10.48550/arxiv.1910.05004" @default.
- W4288093459 hasPublicationYear "2019" @default.
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