The vanishing discount approach in Markov chains with risk-sensitive criteria

DOI10.1109/TAC.2000.880971zbMath0990.93136OpenAlexW2136903220MaRDI QIDQ2730247

Emmanuel Fernández-Gaucherand, Rolando Cavazos-Cadena

Publication date: 5 August 2001

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.2000.880971

zbMATH Keywords

exponential utility functionexponential Lyapunov stability

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40)

Related Items (10)

Discounted approximations to the risk-sensitive average cost in finite Markov chains ⋮ Discounted approximations in risk-sensitive average Markov cost chains with finite state space ⋮ Markov decision processes under risk sensitivity: a discount vanishing approach ⋮ The Vanishing Discount Approach in a class of Zero-Sum Finite Games with Risk-Sensitive Average Criterion ⋮ Time-inconsistent risk-sensitive equilibrium for countable-stated Markov decision processes ⋮ On the vanishing discount factor approach for Markov decision processes with weakly continuous transition probabilities ⋮ Successive approximations in partially observable controlled Markov chains with risk-sensitive average criterion ⋮ Vanishing discount approximations in controlled Markov chains with risk-sensitive average criterion ⋮ Nonzero-Sum Risk-Sensitive Stochastic Games on a Countable State Space ⋮ Stochastic optimization of forward recursive functions

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