On Risk-Sensitive Ergodic Impulsive Control of Markov Processes
β Scribed by R. Sadowy; L. Stettner
- Publisher
- Springer
- Year
- 2002
- Tongue
- English
- Weight
- 133 KB
- Volume
- 45
- Category
- Article
- ISSN
- 0095-4616
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π SIMILAR VOLUMES
In this paper we consider infinite horizon risk-sensitive control of Markov processes with discrete time and denumerable state space. This problem is solved by proving, under suitable conditions, that there exists a bounded solution to the dynamic programming equation. The dynamic programming equati
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