Controlled Markov chains with risk-sensitive criteria: Average cost, optimality equations, and optimal solutions

zbMath0953.93077MaRDI QIDQ1974577

Emmanuel Fernández-Gaucherand, Rolando Cavazos-Cadena

Publication date: 7 May 2000

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

zbMATH Keywords

stochastic optimal controlsimultaneous Doeblin conditionrisk sensitivediscrete-time controlled Markov chain

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40)

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