Davis, Mark H. A.; Lleo, Sébastien - In: Risk-Sensitive Investment Management
The problem we have considered so far relates to the finite horizon criterion $$J_{RS}^\theta (t;\,x,\,h)\,: = \, - {1 \over \theta }\ln {\Bbb E}{e^{ - \theta F(t;\,x,\,h)}}$$. There is also a rich literature on risk-sensitive control problems set over an infinite horizon, including Bielecki and...