A variational characterization of the risk-sensitive average reward for controlled diffusions on ${\mathbb{R}}^d$

Ari Arapostathis, Anup Biswas, Vivek S. Borkar +1

We address the variational formulation of the risk-sensitive reward problem for non-degenerate diffusions on ${\mathbb{R}}^d$ controlled through the drift. We establish a variational…