Long-run risk sensitive dyadic impulse control
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Publication:2045108
DOI10.1007/s00245-019-09631-9zbMath1470.93074arXiv1906.06389OpenAlexW2986546961WikidataQ126792319 ScholiaQ126792319MaRDI QIDQ2045108
Marcin Pitera, Łukasz Stettner
Publication date: 11 August 2021
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1906.06389
Bellman equationimpulse controlrisk sensitive controlentropic risk measureweight normnon-uniformly ergodic Markov process
Optimal stochastic control (93E20) Risk models (general) (91B05) Impulsive control/observation systems (93C27)
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