On risk-sensitive ergodic impulsive control of Markov processes

DOI10.1007/s00245-001-0026-6zbMath1030.93051OpenAlexW1967647410MaRDI QIDQ5956452

Łukasz Stettner, R. Sadowy

Publication date: 15 October 2002

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

Full work available at URL: https://doi.org/10.1007/s00245-001-0026-6

zbMATH Keywords

Bellman equationcontinuous-time Markov processesdyadic momentsimpulsive controlrisk-sensitive long-run average cost

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Ordinary differential equations with impulses (34A37) Optimal stochastic control (93E20)

Related Items (4)

Long-Run Risk-Sensitive Impulse Control ⋮ Risk sensitive optimal stopping ⋮ Long-run risk sensitive dyadic impulse control ⋮ Sequential entry and exit decisions with an ergodic performance criterion

This page was built for publication: On risk-sensitive ergodic impulsive control of Markov processes