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Infinite Horizon Risk Sensitive Control of Discrete Time Markov Processes under Minorization Property

✍ Scribed by Di Masi, Giovanni B.; Stettner, Łukasz


Book ID
118205582
Publisher
Society for Industrial and Applied Mathematics
Year
2007
Tongue
English
Weight
253 KB
Volume
46
Category
Article
ISSN
0363-0129

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Infinite horizon risk sensitive control
✍ G.B.Di Masi; Ł. Stettner 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 96 KB

A control problem with risk sensitive ergodic performance criterion is considered for a discrete time Feller process. Using assumptions of uniform ergodicity and small risk factor, the existence and uniqueness of the solution to the Bellman equation is proved. Uniform approximations to such solution