2 citations · 4 across the 14 of their papers we have counts for
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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…
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…
Nonzero-Sum Risk-Sensitive Stochastic Differential Games: A Multi-parameter Eigenvalue Problem Approach
Mrinal K. Ghosh, K. Suresh Kumar, Chandan Pal +1
We study nonzero-sum stochastic differential games with risk-sensitive ergodic cost criterion. Under certain conditions, using multi-parameter eigenvalue approach, we establish the…
Robustness of Stochastic Optimal Control to Approximate Diffusion Models under Several Cost Evaluation Criteria
Somnath Pradhan, Serdar Yuksel
In control theory, typically a nominal model is assumed based on which an optimal control is designed and then applied to an actual (true) system. This gives rise to the problem of…
Discrete-time Zero-Sum Games for Markov chains with risk-sensitive average cost criterion
Mrinal K. Ghosh, Subrata Golui, Chandan Pal +1
We study zero-sum stochastic games for controlled discrete time Markov chains with risk-sensitive average cost criterion with countable state space and Borel action spaces. The pay…