Speaker
Dariusz Zawisza
(Jagiellonian University)
Description
We consider the finite horizon risk-sensitive control problem for a system driven by a standard Brownian motion. We control the system only through the drift, the control set is unbounded, and the cost/reward function is superlinear with respect to the control variable. To solve the problem, we use the HJB theory and prove that the associated PDE admits a classical ($C^{2,1}$) solution.
Author
Dariusz Zawisza
(Jagiellonian University)
