Ergodic Risk-sensitive control -- A survey

Risk-sensitive control has received considerable interest since the seminal work of Howard and Matheson [120] because of its ability to account for fluctuations about the mean, its connection with $H_\infty$ control, and its application to financial mathematics. In this article, we attempt to put together a comprehensive survey on the research done on ergodic risk-sensitive control over the last four decades.

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