Kumar, Suresh and Pal, Chandan (2015) Risk-Sensitive Ergodic Control of Continuous Time Markov Processes With Denumerable State Space. In: STOCHASTIC ANALYSIS AND APPLICATIONS, 33 (5). pp. 863-881.
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Official URL: http://dx.doi.org/10.1080/07362994.2015.1050674
Abstract
In this article, we study risk-sensitive control problem with controlled continuous time Markov chain state dynamics. Using multiplicative dynamic programming principle along with the atomic structure of the state dynamics, we prove the existence and a characterization of optimal risk-sensitive control under geometric ergodicity of the state dynamics along with a smallness condition on the running cost.
| Item Type: | Journal Article |
|---|---|
| Publication: | STOCHASTIC ANALYSIS AND APPLICATIONS |
| Publisher: | TAYLOR & FRANCIS INC |
| Additional Information: | Copy right for this article belongs to the TAYLOR & FRANCIS INC, 530 WALNUT STREET, STE 850, PHILADELPHIA, PA 19106 USA |
| Keywords: | Risk-sensitive control; Controlled Markov chain; Multiplicative dynamic programming principle; Twisted kernel; Geometric ergodicity |
| Department/Centre: | Division of Physical & Mathematical Sciences > Mathematics |
| Date Deposited: | 24 Sep 2015 04:39 |
| Last Modified: | 24 Sep 2015 04:39 |
| URI: | http://eprints.iisc.ac.in/id/eprint/52385 |
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