✦ LIBER ✦

Infinite horizon risk sensitive control of discrete time Markov processes with small risk

✍ Scribed by G.B.Di Masi; Ł. Stettner

Publisher: Elsevier Science
Year: 2000
Tongue: English
Weight: 96 KB
Volume: 40
Category: Article
ISSN: 0167-6911
DOI: 10.1016/s0167-6911(99)00118-8

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✦ Synopsis

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 in terms of discounted cost and discounted game problems are also shown.

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