Risk sensitive control of Markov processes in countable state space

Risk sensitive control of Markov processes in countable state space

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Article ID: iaor1999851
Country: United States
Volume: 29
Issue: 3
Start Page Number: 147
End Page Number: 155
Publication Date: Jul 1996
Journal: Systems and Control Letters
Authors: ,
Keywords: programming: dynamic
Abstract:

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 equation is transformed into an Isaacs equation for a stochastic game, and the vanishing discount method is used to study its solution. In addition, we prove that the existence conditions are also necessary.

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