17 citations · 55 across the 9 of their papers we have counts for
9 papers
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…
A variational characterization of the risk-sensitive average reward for controlled diffusions on
Ari Arapostathis, Anup Biswas, Vivek S. Borkar +1
We address the variational formulation of the risk-sensitive reward problem for non-degenerate diffusions on controlled through the drift. We establish a variational…
Simultaneous Small Noise Limit for Singularly Perturbed Slow-Fast Coupled Diffusions
Siva R. Athreya, Vivek S. Borkar, K. Suresh Kumar +1
We consider a simultaneous small noise limit for a singularly perturbed coupled diffusion described by \begin{eqnarray*} dX^{\varepsilon}_t &=& b(X^{\varepsilon}_t, Y^{\varepsilon}…
Risk-sensitive control of reflected diffusion processes on orthrant
Sunil Kumar Gauttam, K. Suresh Kumar, Chandan Pal
In this article, we prove the existence of optimal risk-sensitive control with state constraints. We use near monotone assumption on the running cost to prove the existence of opti…
Nonzero-sum risk-sensitive stochastic differential games
Mrinal K. Ghosh, K. Suresh Kumar, Chandan Pal
We study two person nonzero-sum stochastic differential games with risk-sensitive discounted and ergodic cost criteria. Under certain conditions we establish a Nash equilibrium in…
Risk-Sensitive Control and an Abstract Collatz-Wielandt Formula
Ari Arapostathis, Vivek S. Borkar, K. Suresh Kumar
The "value" of infinite horizon risk-sensitive control is the principal eigenvalue of a certain positive operator. This facilitates the use of Chang's extension of the Collatz-Wiel…