Infinite horizon risk sensitive control of discrete time Markov processes with small risk
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Publication:1575293
DOI10.1016/S0167-6911(99)00118-8zbMATH Open0977.93083OpenAlexW2048220997MaRDI QIDQ1575293FDOQ1575293
Authors: Giovanni Di Masi, Łukasz Stettner 
Publication date: 21 August 2000
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6911(99)00118-8
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Cites Work
- Risk sensitive control of Markov processes in countable state space
- Adaptive Markov control processes
- Risk-Sensitive Control of Finite State Machines on an Infinite Horizon I
- Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon
- Controlled Markov chains with risk-sensitive criteria: Average cost, optimality equations, and optimal solutions
Cited In (47)
- Risk-sensitive control of an ergodic diffusion over an infinite horizon
- Existence of bounded solutions to multiplicative Poisson equations under mixing property
- Discrete time risk sensitive control problem
- A discount vanishing approximation for Markov decision processes with risk sensitivity
- Non-zero-sum stochastic games with recursive utilities of risk-sensitive players
- Markov decision processes under risk sensitivity: a discount vanishing approach
- Vanishing discount approximations in controlled Markov chains with risk-sensitive average criterion
- Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon
- Risk-sensitive average Markov decision processes in general spaces
- Ergodic risk-sensitive control of Markov processes on countable state space revisited
- An eigenvalue approach to the risk sensitive control problem in near monotone case
- A note on risk-sensitive control of invariant models
- Risk sensitive control of pure jump processes on a general state space
- Discounted approximations to the risk-sensitive average cost in finite Markov chains
- About stability of risk-seeking optimal stopping
- Contractive approximations in average Markov decision chains driven by a risk-seeking controller
- A discounted approach in communicating average Markov decision chains under risk-aversion
- Local Poisson equations associated with the Varadhan functional
- Average criteria in denumerable semi-Markov decision chains under risk-aversion
- Controlled semi-Markov chains with risk-sensitive average cost criterion
- Infinite Horizon Risk Sensitive Control of Discrete Time Markov Processes under Minorization Property
- Nonstationary value iteration in controlled Markov chains with risk-sensitive average criterion
- A Poisson equation for the risk-sensitive average cost in semi-Markov chains
- Risk-sensitive average equilibria for discrete-time stochastic games
- Risk-sensitive discounted cost criterion for continuous-time Markov decision processes on a general state space
- Risk-sensitivity vanishing limit for controlled Markov processes
- Characterization of the optimal risk-sensitive average cost in denumerable Markov decision chains
- Certainty equivalent control of discrete time Markov processes with the average reward functional
- Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions
- The discounted method and equivalence of average criteria for risk-sensitive Markov decision processes on Borel spaces
- Solutions of the average cost optimality equation for finite Markov decision chains: Risk-sensitive and risk-neutral criteria
- Continuity of the optimal average cost in Markov decision chains with small risk-sensitivity
- The vanishing discount approach in a class of zero-sum finite games with risk-sensitive average criterion
- Nonzero-sum risk-sensitive stochastic games on a countable state space
- Risk sensitive control of diffusions with small running cost
- Local Poisson equations associated with discrete-time Markov control processes
- Zero-sum risk-sensitive stochastic games on a countable state space
- Small Parameter Limit for Discrete-Time Partially Observed Risk-Sensitive Control Problems
- Contractive approximations in risk-sensitive average semi-Markov decision chains on a finite state space
- Optimality equations and inequalities in a class of risk-sensitive average cost Markov decision chains
- Average optimality for risk-sensitive control with general state space
- Remarks on risk-sensitive control problems
- Risk-Sensitive LQG Discounted Control Problems and Their Asymptotic Behavior
- Discounted approximations in risk-sensitive average Markov cost chains with finite state space
- Markov decision processes with risk-sensitive criteria: an overview
- An optimality system for finite average Markov decision chains under risk-aversion
- Duality between large deviation control and risk-sensitive control for Markov decision processes
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