Cover Image

Blackwell optimality in risk-sensitive stochastic control

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Pitera, Marcin, Stettner, Łukasz
Format:	Preprint
Published:	2026
Subjects:	Optimization and Control Probability
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Blackwell optimality and policy stability for long-run risk sensitive stochastic control
by: Bäuerle, Nicole, et al.
Published: (2024)

Policy stability and ultimate stationarity in discounted risk-sensitive stochastic control
by: Bäuerle, Nicole, et al.
Published: (2026)

Markov control of continuous time Markov processes with long run functionals by time discretization
by: Stettner, Lukasz
Published: (2025)

Stability of long run functionals with respect to stationary Markov controls
by: Stettner, Lukasz
Published: (2024)

Long run control of nonhomogeneous Markov processes
by: Stettner, Łukasz
Published: (2025)

A risk-sensitive ergodic singular stochastic control problem
by: Gwee, Justin, et al.
Published: (2025)

Existence of bounded solutions to multiplicative Poisson equations under mixing property
by: Pitera, Marcin, et al.
Published: (2023)

Duality methods in stochastic optimal control
by: Bank, Peter, et al.
Published: (2026)

Mean-field optimal control with stochastic leaders
by: Zimper, Sebastian, et al.
Published: (2025)

Maximum principle for optimal control of stochastic evolution equations with recursive utilities
by: Liu, Guomin, et al.
Published: (2021)

Global-in-time optimal control of stochastic third-grade fluids with additive noise
by: Kinra, Kush, et al.
Published: (2025)

Maximum principle for recursive optimal control problem of stochastic delay evolution equations
by: Liu, Guomin, et al.
Published: (2023)

Existence of optimal controls for stochastic partial differential equations with fully local monotone coefficients
by: Zong, Gaofeng
Published: (2025)

On stochastic control under Poisson observations: optimality of a barrier strategy in a general Lévy model
by: Noba, Kei, et al.
Published: (2022)

Linear-quadratic optimal control for non-exchangeable mean-field SDEs and applications to systemic risk
by: de Crescenzo, Anna, et al.
Published: (2025)

Discrete time stochastic impulse control with delay
by: Hamadène, Said, et al.
Published: (2025)

An entropy penalized approach for stochastic optimization with marginal law constraints. Complete version
by: Bourdais, Thibaut, et al.
Published: (2025)

Small noise perturbations of stochastic ergodic control problems
by: Kumar, K. Suresh, et al.
Published: (2024)

On optimal control of reflected diffusions
by: Jonsson, Adam
Published: (2023)

Constrained stochastic linear quadratic control under regime switching with controlled jump size
by: Shi, Xiaomin, et al.
Published: (2024)

A stochastic optimization algorithm for revenue maximization in a service system with balking customers
by: Bodas, Shreehari Anand, et al.
Published: (2025)

An entropy penalized approach for stochastic control problems. Complete version
by: Bourdais, Thibaut, et al.
Published: (2023)

Constrained mean-field control with singular controls: Existence, stochastic maximum principle and constrained FBSDE
by: Bo, Lijun, et al.
Published: (2025)

Non-concave stochastic optimal control in finite discrete time under model uncertainty
by: Neufeld, Ariel, et al.
Published: (2024)

Null controllability for stochastic fourth order semi-discrete parabolic equations
by: Wang, Yu, et al.
Published: (2024)

Zero-Sum Games for piecewise deterministic Markov decision processes with risk-sensitive finite-horizon cost criterion
by: Golui, Subrata
Published: (2024)

Dynamical behavior and optimal control of a stochastic SAIRS epidemic model with two saturated incidences
by: Zhang, Xiaohui, et al.
Published: (2024)

Equilibrium strategies in time-inconsistent stochastic control problems with constraints: necessary conditions
by: Mastrogiacomo, Elisa, et al.
Published: (2021)

Stochastic optimal control of Lévy tax processes with bailouts
by: Ghanim, Dalal Al, et al.
Published: (2024)

Continuous-time optimal control for trajectory planning under uncertainty
by: Valli, Ange, et al.
Published: (2024)

Stochastic maximum principle for time-changed forward-backward stochastic control problem with Lévy noise
by: Chen, Jingwei, et al.
Published: (2026)

Matrix Riccati BSDEs with singular terminal condition and stochastic LQ control with linear terminal constraint
by: Ackermann, Julia, et al.
Published: (2026)

Hopf-Lax approximation for value functions of Lévy optimal control problems
by: Kupper, Michael, et al.
Published: (2025)

The Koopmanization of controlled nonlinear Itô stochastic differential systems and its comparison with the Carleman embedding: new results
by: Lambe, Amruta, et al.
Published: (2025)

Stochastic Maximum Principle for optimal advertising models with delay and non-convex control space
by: Guatteri, Giuseppina, et al.
Published: (2024)

The randomization method in stochastic optimal control
by: Fuhrman, Marco
Published: (2025)

Team problems and stochastic programming
by: Evstigneev, Igor V., et al.
Published: (2025)

Convergence analysis for an implementable scheme to solve the linear-quadratic stochastic optimal control problem with stochastic wave equation
by: Chaudhary, Abhishek
Published: (2025)

Error analysis for stochastic gradient optimization schemes using modified equations
by: Bréhier, Charles-Edouard, et al.
Published: (2024)

Controlled stochastic processes for simulated annealing
by: Molin, Vincent, et al.
Published: (2025)