On risk-sensitive ergodic impulsive control of Markov processes (Q5956452)
From MaRDI portal
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 |
Statements
On risk-sensitive ergodic impulsive control of Markov processes (English)
0 references
15 October 2002
0 references
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.
0 references
impulsive control
0 references
continuous-time Markov processes
0 references
risk-sensitive long-run average cost
0 references
Bellman equation
0 references
dyadic moments
0 references