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SUMMARY:Daniel Hernández-Hernández (CIMAT) : Asymptotic behavior of risk-
 sensitive control problems
DESCRIPTION:Title:\nAsymptotic behavior of risk-sensitive control problems\
 nAbstract:\nIn this talk we describe the certainty-equivalent of the infin
 ite horizon with discounted cost for the Linear-Quadratic-Gaussian (LQG) m
 odel. Existence of optimal solution is investigated as well as explicit fo
 rmulas for the value function. This problem is related with the ergodic (a
 verage-cost per unit time) criterion\, analyzing the asymptotic behavior w
 hen the discount factor vanishes. It is shown that under a suitable log-t
 ransformation\, a functional of the risk-sensitive discounted cost converg
 es to the risk-sensitive average cost. This is based on a joint work with 
 Pedro Salazar.\nBiography:\nDaniel Hernández is professor at the Departme
 nt 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 optimi
 zation and modelling in finance. \n \n\nZoom Meeting Details\n\nLink: ht
 tps://imperial-ac-uk.zoom.us/j/97358437605?pwd=b3E0OUx2Y3pCaU5nZjNzNUllWHB
 EZz09\nMeeting ID: 973 5843 7605\nPasscode: u4CaE^\n\n \n
URL:https://www.imperial.ac.uk/events/142366/daniel-hernandez-hernandez-cim
 at-tba/
DTSTART;TZID=Europe/London:20220316T150000
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LOCATION:United Kingdom
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