Risk sensitive control of pure jump processes on a general state space

Pal, Chandan and Pradhan, Somnath (2019) Risk sensitive control of pure jump processes on a general state space. In: STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 91 (2). pp. 155-174.

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Abstract

We study stochastic control problem for pure jump processes on a general state space with risk sensitive discounted and ergodic cost criteria. For the discounted cost criterion we prove the existence and Hamilton-Jacobi-Bellman characterization of optimal a-discounted control for bounded cost function. For the ergodic cost criterion we assume a Lyapunov type stability assumption and a small cost condition. Under these assumptions we show the existence of the optimal risk-sensitive ergodic control.

Item Type:	Journal Article
Publication:	STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES
Publisher:	TAYLOR & FRANCIS LTD
Additional Information:	Copyright of this article belongs to TAYLOR & FRANCIS LTD
Keywords:	Markov decision processes; pure jump process; Hamilton-Jacobi-Bellman equation; risk sensitive control; small cost; stationary Markov control
Department/Centre:	Division of Physical & Mathematical Sciences > Mathematics
Date Deposited:	20 May 2019 09:43
Last Modified:	23 May 2019 09:38
URI:	http://eprints.iisc.ac.in/id/eprint/62301

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