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Remarks On Risk-Sensitive Control Problems, José Luis Menaldi, Maurice Robin
Remarks On Risk-Sensitive Control Problems, José Luis Menaldi, Maurice Robin
Mathematics Faculty Research Publications
The main purpose of this paper is to investigate the asymptotic behavior of the discounted risk-sensitive control problem for periodic diffusion processes when the discount factor α goes to zero. If uα(θ, x) denotes the optimal cost function, being the risk factor, then it is shown that limα→0αuα(θ, x) = ξ(θ) where ξ(θ) is the average on ]0, θ[ of the optimal cost of the (usual) in nite horizon risk-sensitive control problem.