In this paper we extend standard dynamic programming results for the risk sensitive optimal control of discrete time Markov chains to a new class of models. The state space is only finite, but now the assumptions about the Markov transition matrix are much less restrictive. Our results are then...

We consider an optimal consumption and investment model in continuous time, which is an extension of the original Merton's problem. In the proposed model, the asset prices are affected by correlated economic factors, modelled as diffusion processes. Writing the value function in a special form,...

In this paper we extend standard dynamic programming results for the risk sensitive optimal control of discrete time Markov chains to a new class of models. The state space is only finite, but now the assumptions about the Markov transition matrix are much less restrictive. Our results are then...