publications

publications by categories in reversed chronological order. generated by jekyll-scholar.

2024

  1. Robustness of stochastic optimal control to approximate diffusion models under several cost evaluation criteria
    Somnath Pradhan and Serdar Yüksel
    Math. Oper. Res., 49 (2024), no. 4, 2049–2077
    DOI
  2. Near optimality of Lipschitz and smooth policies in controlled diffusions
    Somnath Pradhan and Serdar Yüksel
    Systems Control Lett., 193 (2024), Paper No. 105943, 6 pp.
    DOI
  3. Continuity of cost in Borkar control topology and implications on discrete space and time approximations for controlled diffusions under several criteria
    Somnath Pradhan and Serdar Yüksel
    Electron. J. Probab., 29 (2024), Paper No. 37, 32 pp.
    DOI
  4. Zero-sum stochastic games in continuous-time with risk-sensitive average cost criterion on a countable state space
    Mrinal K. Ghosh, Subrata Golui, Chandan Pal, and Somnath Pradhan
    Math. Control Relat. Fields, 14 (2024), no. 1, 255–283
    DOI

2023

  1. Nonzero-sum risk-sensitive stochastic differential games: a multi-parameter eigenvalue problem approach
    Mrinal K. Ghosh, K. Suresh Kumar, Chandan Pal, and Somnath Pradhan
    Systems Control Lett., 172 (2023), Paper No. 105443, 11 pp.
    DOI
  2. Discrete-time zero-sum games for Markov chains with risk-sensitive average cost criterion
    Mrinal K. Ghosh, Subrata Golui, Chandan Pal, and Somnath Pradhan
    Stochastic Process. Appl., 158 (2023), 40–74
    DOI
  3. On the monotonicity property of the generalized eigenvalue for weakly-coupled cooperative elliptic systems
    Ari Arapostathis, Anup Biswas, and Somnath Pradhan
    J. Differential Equations, 351 (2023), 156–193
    DOI

2022

  1. Ergodic risk-sensitive control for regime-switching diffusions
    Anup Biswas and Somnath Pradhan
    Systems Control Lett., 170 (2022), Paper No. 105399, 12 pp.
    DOI
  2. Nonzero-sum risk-sensitive continuous-time stochastic games with ergodic costs
    Mrinal K. Ghosh, Subrata Golui, Chandan Pal, and Somnath Pradhan
    Appl. Math. Optim., 86 (2022), no. 1, Paper No. 6, 31 pp.
    DOI
  3. Ergodic risk-sensitive control of Markov processes on countable state space revisited
    Anup Biswas and Somnath Pradhan
    ESAIM Control Optim. Calc. Var., 28 (2022), Paper No. 26, 50 pp.
    DOI
  4. A nonzero-sum risk-sensitive stochastic differential game in the orthant
    Mrinal K. Ghosh and Somnath Pradhan
    Math. Control Relat. Fields, 12 (2022), no. 2, 343–370
    DOI
  5. Zero-sum games for pure jump processes with risk-sensitive discounted cost criteria
    Chandan Pal and Somnath Pradhan
    J. Dyn. Games, 9 (2022), no. 1, 13–25
    DOI

2021

  1. Risk-sensitive zero-sum stochastic differential game for jump-diffusions
    Somnath Pradhan
    Systems Control Lett., 157 (2021), Paper No. 105033, 11 pp.
    DOI
  2. Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain
    Mrinal K. Ghosh and Somnath Pradhan
    Stoch. Anal. Appl., 39 (2021), no. 5, 819–841
    DOI
  3. On the policy improvement algorithm for ergodic risk-sensitive control
    Ari Arapostathis, Anup Biswas, and Somnath Pradhan
    Proc. Roy. Soc. Edinburgh Sect. A, 151 (2021), no. 4, 1305–1330
    DOI
  4. Risk-sensitive ergodic control of reflected diffusion processes in orthant
    Somnath Pradhan
    Appl. Math. Optim., 83 (2021), no. 3, 1739–1764
    DOI
  5. Nonzero-sum risk-sensitive stochastic differential games with discounted costs
    Mrinal K. Ghosh, K. Suresh Kumar, Chandan Pal, and Somnath Pradhan
    Stoch. Anal. Appl., 39 (2021), no. 2, 306–326
    DOI

2020

  1. Zero-sum risk-sensitive stochastic differential games with reflecting diffusions in the orthant
    Mrinal Kanti Ghosh and Somnath Pradhan
    ESAIM Control Optim. Calc. Var., 26 (2020), Paper No. 114, 33 pp.
    DOI

2019

  1. Risk sensitive control of pure jump processes on a general state space
    Chandan Pal and Somnath Pradhan
    Stochastics, 91 (2019), no. 2, 155–174
    DOI

2018

  1. Risk-sensitive stochastic differential games with reflecting diffusions
    Mrinal K. Ghosh and Somnath Pradhan
    Stoch. Anal. Appl., 36 (2018), no. 1, 1–27
    DOI