21 citations · 26 across the 7 of their papers we have counts for
4 papers · 1 filter
On the policy improvement algorithm for ergodic risk-sensitive control
Ari Arapostathis, Anup Biswas, Somnath Pradhan
In this article we consider the ergodic risk-sensitive control problem for a large class of multidimensional controlled diffusions on the whole space. We study the minimization and…
Risk-sensitive control for a class of diffusions with jumps
Ari Arapostathis, Anup Biswas
We consider a class of diffusions controlled through the drift and jump size, and driven by a jump Lévy process and a nondegenerate Wiener process, and we study infinite horizon (e…
A variational formula for risk-sensitive control of diffusions in
Ari Arapostathis, Anup Biswas
We address the variational problem for the generalized principal eigenvalue on of linear and semilinear elliptic operators associated with nondegenerate diffusions c…
Risk-sensitive control for the multi-class many server queue in the moderate deviation regime
Anup Biswas
A G/M/N queue is considered in the moderate deviation heavy traffic regime. The rate function for the customers-in-system process is obtained for the single class model. A risk-sen…