“…In contrast to the risk-neutral model, if the resulting transition probability matrix P (f ) is unichain and contains also transient states, solution of equations (26)-(28) can be guaranteed only for the small values of the risk sensitivity coefficient (see e. g. [7,8,9,25]). Conditions guaranteeing existence of solutions to (26)- (27) were studied in many papers, see e. g. [3][4][5][6][7][8][9][10][11][12][25][26][27][28].…”