A characterization of the optimal risk-sensitive average cost in finite controlled Markov chains

DOI10.1214/105051604000000585zbMath1076.93045arXivmath/0503478OpenAlexW3104072454MaRDI QIDQ1774216

Daniel Hernández-Hernández, Rolando Cavazos-Cadena

Publication date: 29 April 2005

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0503478

zbMATH Keywords

long-run average costrisk-sensitive controlcharacterization of optimal value function

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Large deviations (60F10)

Related Items (16)

Solution of the HJB Equations Involved in Utility-Based Pricing ⋮ Long run risk sensitive portfolio with general factors ⋮ Unnamed Item ⋮ Unnamed Item ⋮ On the global convergence of relative value iteration for infinite-horizon risk-sensitive control of diffusions ⋮ Discrete-time zero-sum games for Markov chains with risk-sensitive average cost criterion ⋮ Discrete time homogeneous Markov processes for the study of the basic risk processes ⋮ Optimal halting policies in Markov population decision chains with constant risk posture ⋮ Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions ⋮ A Poisson equation for the risk-sensitive average cost in semi-Markov chains ⋮ The study of basic risk processes by discrete-time non-homogeneous Markov processes ⋮ Zero-sum risk-sensitive stochastic games ⋮ Unnamed Item ⋮ Characterization of the Optimal Risk-Sensitive Average Cost in Denumerable Markov Decision Chains ⋮ Definable Zero-Sum Stochastic Games ⋮ Constant risk aversion in stochastic contests with exponential completion times

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A forecast horizon and a stopping rule for general Markov decision processes
• Risk-sensitive dynamic asset management
• Risk sensitive control of Markov processes in countable state space
• Optimal long term growth rate of expected utility of wealth
• Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
• Solution to the risk-sensitive average optimality equation in communicating Markov decision chains with finite state space: An alternative approach
• Controlled Markov chains with risk-sensitive criteria: Average cost, optimality equations, and optimal solutions
• A characterization of exponential functionals in finite Markov chains
• Asymptotic evaluation of certain markov process expectations for large time, I
• Risk-Sensitive Control of Finite State Machines on an Infinite Horizon I
• Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon
• A mathematical theory of optimal economic development
• Risk-Sensitive Markov Decision Processes

This page was built for publication: A characterization of the optimal risk-sensitive average cost in finite controlled Markov chains