Risk-Sensitive Ergodic Control of Continuous Time Markov Processes With Denumerable State Space

DOI10.1080/07362994.2015.1050674zbMath1327.93417OpenAlexW1498264163MaRDI QIDQ3194570

K. Suresh Kumar, Chandan Pal

Publication date: 20 October 2015

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2015.1050674

zbMATH Keywords

risk-sensitive controlgeometric ergodicitycontrolled Markov chainmultiplicative dynamic programming principletwisted kernel

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)

Related Items (20)

Continuous-time zero-sum games for markov decision processes with discounted risk-sensitive cost criterion on a general state space ⋮ Risk-sensitive discounted cost criterion for continuous-time Markov decision processes on a general state space ⋮ Continuous-time zero-sum games for Markov decision processes with discounted risk-sensitive cost criterion ⋮ Risk sensitive control of pure jump processes on a general state space ⋮ Risk-sensitive continuous-time Markov decision processes with unbounded rates and Borel spaces ⋮ Nonzero-sum risk-sensitive continuous-time stochastic games with ergodic costs ⋮ Discrete-time zero-sum games for Markov chains with risk-sensitive average cost criterion ⋮ Continuous-time Markov decision processes under the risk-sensitive first passage discounted cost criterion ⋮ Risk-sensitive average continuous-time Markov decision processes with unbounded rates ⋮ Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions ⋮ Risk-sensitive finite-horizon piecewise deterministic Markov decision processes ⋮ Risk-sensitive semi-Markov decision processes with general utilities and multiple criteria ⋮ Risk-Sensitive Discounted Continuous-Time Markov Decision Processes with Unbounded Rates ⋮ Zero-sum risk-sensitive stochastic games for continuous time Markov chains ⋮ Risk-sensitive zero-sum stochastic differential game for jump-diffusions ⋮ Zero-sum games for pure jump processes with risk-sensitive discounted cost criteria ⋮ Risk-sensitive average continuous-time Markov decision processes with unbounded transition and cost rates ⋮ Ergodic risk-sensitive control of Markov processes on countable state space revisited ⋮ Risk-sensitive control for a class of diffusions with jumps ⋮ Continuous-time zero-sum games for Markov chains with risk-sensitive finite-horizon cost criterion

Cites Work

• Risk sensitive control of diffusions with small running cost
• Risk-sensitive portfolio optimization problems with fixed income securities
• Risk sensitive control of Markov processes in countable state space
• Large deviations asymptotics and the spectral theory of multiplicatively regular Markov proces\-ses
• Spectral theory and limit theorems for geometrically ergodic Markov processes
• Risk-sensitive control of pure jump process on countable space with near monotone cost
• Infinite Horizon Risk Sensitive Control of Discrete Time Markov Processes under Minorization Property
• Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
• Risk-Sensitive Optimal Control for Markov Decision Processes with Monotone Cost

This page was built for publication: Risk-Sensitive Ergodic Control of Continuous Time Markov Processes With Denumerable State Space