Title:
Asymptotic behavior of risk-sensitive control problems
Abstract:
In this talk we describe the certainty-equivalent of the infinite horizon with discounted cost for the Linear-Quadratic-Gaussian (LQG) model. Existence of optimal solution is investigated as well as explicit formulas for the value function. This problem is related with the ergodic (average-cost per unit time) criterion, analyzing the asymptotic behavior when the discount factor vanishes. It is shown that under a suitable log-transformation, a functional of the risk-sensitive discounted cost converges to the risk-sensitive average cost. This is based on a joint work with Pedro Salazar.
Biography:
Daniel Hernández is professor at the Department of Probability and Statistics of the Research Center for Mathematics (CIMAT) since 1999, in Guanajuato, Mexico. His research interests are in the areas of HJB equations, stochastic dynamic games, stochastic optimization and modelling in finance.
Zoom Meeting Details
- Link: https://imperial-ac-uk.zoom.us/j/97358437605?pwd=b3E0OUx2Y3pCaU5nZjNzNUllWHBEZz09
- Meeting ID: 973 5843 7605
- Passcode: u4CaE^