论文标题
对政权开关扩散的奇异风险敏感控制
Ergodic Risk-Sensitive Control for Regime-Switching Diffusions
论文作者
论文摘要
在本文中，我们研究了受控政权扩散的奇异风险敏感控制问题。在毯子稳定性假设下，我们解决了弱耦合系统的相关非线性特征值问题，并通过合适的验证定理表征了最佳的固定马尔可夫控制。我们还考虑了近孔酮的情况，并获得了主征函数和最佳固定马尔可夫控制的存在。
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.
