Risk-sensitive control of continuous time Markov chains

DOI10.1080/17442508.2013.872644zbMath1337.49046arXiv1409.4032OpenAlexW2028535981MaRDI QIDQ2811098

Subhamay Saha, Mrinal K. Ghosh

Publication date: 10 June 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.4032

zbMATH Keywords

Poisson equationHJB equationrisk-sensitive controlmultiplicative ergodic theorempolicy improvement algorithminfinite horizon discounted costinfinite horizon average costfinite horizon problem

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Continuous-time Markov processes on discrete state spaces (60J27)

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