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Risk-Sensitive Markov Control Processes

✍ Scribed by Shen, Yun; Stannat, Wilhelm; Obermayer, Klaus

Book ID
121337283
Publisher
Society for Industrial and Applied Mathematics
Year
2013
Tongue
English
Weight
308 KB
Volume
51
Category
Article
ISSN
0363-0129

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πŸ“œ SIMILAR VOLUMES

Risk sensitive control of Markov process
Risk sensitive control of Markov processes in countable state space
✍ Daniel Hernandez-HernΓ‘ndez; Steven I. Marcus πŸ“‚ Article πŸ“… 1996 πŸ› Elsevier Science 🌐 English βš– 450 KB

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

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✍ 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