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Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon

✍ Scribed by Di Masi, G. B.; Stettner, L.

Book ID
118208046
Publisher
Society for Industrial and Applied Mathematics
Year
1999
Tongue
English
Weight
312 KB
Volume
38
Category
Article
ISSN
0363-0129

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πŸ“œ SIMILAR VOLUMES

Infinite horizon risk sensitive control
Infinite horizon risk sensitive control of discrete time Markov processes with small risk
✍ G.B.Di Masi; Ł. Stettner πŸ“‚ Article πŸ“… 2000 πŸ› Elsevier Science 🌐 English βš– 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