On risk-sensitive ergodic impulsive control of Markov processes (Q5956452): Difference between revisions
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Latest revision as of 19:51, 19 March 2024
scientific article; zbMATH DE number 1709375
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On risk-sensitive ergodic impulsive control of Markov processes |
scientific article; zbMATH DE number 1709375 |
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On risk-sensitive ergodic impulsive control of Markov processes (English)
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15 October 2002
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This paper deals with impulsive control of continuous-time Markov processes with risk-sensitive long-run average cost. Appealing to the associated Bellman equation, the authors show the following results: (1) For the most general impulsive problem, the optimal value and an optimal strategy are given under the restriction that impulses are in dyadic moments ony (say dyadic impulsive control). (2) In the case of additive cost, the impulsive control problem can be solved as a limit of suitable dyadic impulsive control problems. The characterization of the optimal value and an optimal strategy is given.
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impulsive control
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continuous-time Markov processes
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risk-sensitive long-run average cost
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Bellman equation
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dyadic moments
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