Risk-sensitive control of pure jump process on countable space with near monotone cost

DOI10.1007/s00245-013-9208-2zbMath1282.93278OpenAlexW2010724415MaRDI QIDQ2441391

Chandan Pal, K. Suresh Kumar

Publication date: 24 March 2014

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-013-9208-2

zbMATH Keywords

risk-sensitive controlHarnack's inequalitycontrolled Markov chainmultiplicative dynamic programming principlenear monotone cost

Mathematics Subject Classification ID

Related Items (21)

Continuous-time zero-sum games for markov decision processes with discounted risk-sensitive cost criterion on a general state space ⋮ Risk-sensitive discounted cost criterion for continuous-time Markov decision processes on a general state space ⋮ Continuous-time zero-sum games for Markov decision processes with discounted risk-sensitive cost criterion ⋮ Risk-Sensitive Ergodic Control of Continuous Time Markov Processes With Denumerable State Space ⋮ Risk sensitive control of pure jump processes on a general state space ⋮ Zero-sum semi-Markov games with a probability criterion ⋮ Risk-sensitive continuous-time Markov decision processes with unbounded rates and Borel spaces ⋮ Risk-sensitive semi-Markov decision problems with discounted cost and general utilities ⋮ Nonzero-sum risk-sensitive continuous-time stochastic games with ergodic costs ⋮ On risk-sensitive piecewise deterministic Markov decision processes ⋮ Discrete-time zero-sum games for Markov chains with risk-sensitive average cost criterion ⋮ Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching ⋮ Risk-sensitive average continuous-time Markov decision processes with unbounded rates ⋮ Harnack inequality for non-local Schrödinger operators ⋮ Finite horizon risk-sensitive continuous-time Markov decision processes with unbounded transition and cost rates ⋮ Risk-Sensitive Discounted Continuous-Time Markov Decision Processes with Unbounded Rates ⋮ Zero-sum risk-sensitive stochastic games for continuous time Markov chains ⋮ Zero-sum games for pure jump processes with risk-sensitive discounted cost criteria ⋮ Risk-sensitive average continuous-time Markov decision processes with unbounded transition and cost rates ⋮ On gradual-impulse control of continuous-time Markov decision processes with exponential utility ⋮ Continuous-time zero-sum games for Markov chains with risk-sensitive finite-horizon cost criterion

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• Ergodic Control of Diffusion Processes
• Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
• Infinite Horizon Risk Sensitive Control of Discrete Time Markov Processes under Minorization Property
• Necessary and Sufficient Dynamic Programming Conditions for Continuous Time Stochastic Optimal Control
• Risk-Sensitive Optimal Control for Markov Decision Processes with Monotone Cost

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