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: | Marcus S.I., Hernandez-Hernandez D. |
Keywords: | programming: dynamic |
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.