A characterization of the optimal risk-sensitive average cost in finite controlled Markov chains

DOI10.1214/105051604000000585zbMath1076.93045arXivmath/0503478MaRDI QIDQ1774216

Daniel Hernández-Hernández, Rolando Cavazos-Cadena

Publication date: 29 April 2005

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0503478

zbMATH Keywords

long-run average cost; risk-sensitive control; characterization of optimal value function

Mathematics Subject Classification ID

60J05: Discrete-time Markov processes on general state spaces

93C55: Discrete-time control/observation systems

93E20: Optimal stochastic control

60F10: Large deviations

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