| Article ID: | iaor2002908 |
| Country: | United States |
| Volume: | 38 |
| Issue: | 1 |
| Start Page Number: | 61 |
| End Page Number: | 78 |
| Publication Date: | Dec 1999 |
| Journal: | SIAM Journal on Control and Optimization |
| Authors: | Stettner L., Masi G.B. Di |
| Keywords: | programming: dynamic |
In this paper we study existence of solutions to the Bellman equation corresponding to risk-sensitive ergodic control of discrete-time Markov processes using three different approaches. Also, for particular classes of systems, asymptotics for vanishing risk factor is investigated, showing that in the limit the optimal value for an average cost per unit time is obtained.