2 papers
math.OC2022
Continuity of Cost in Borkar Control Topology and Implications on Discrete Space and Time Approximations for Controlled Diffusions under Several Criteria
Somnath Pradhan, Serdar Yüksel
We first show that the discounted cost, cost up to an exit time, and ergodic cost involving controlled non-degenerate diffusions are continuous on the space of stationary control p…
math.OC2022
Ergodic Risk-Sensitive Control for Regime-Switching Diffusions
Anup Biswas, Somnath Pradhan
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 nonli…