Multiplicative ergodicity and large deviations for an irreducible Markov chain.
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Publication:1879486
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- A Liapounov bound for solutions of the Poisson equation
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Cited in
(36)- Geometric ergodicity in a weighted Sobolev space
- Convergence of moments in a Markov-chain central limit theorem
- Convergence of value functions for finite horizon Markov decision processes with constraints
- Characterization of the optimal risk-sensitive average cost in denumerable Markov decision chains
- Exponential transform of quadratic functional and multiplicative ergodicity of a Gauss-Markov process
- Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions
- Algorithms for optimization and stabilization of controlled Markov chains.
- \(V\)-uniform ergodicity for state-dependent single class queueing networks
- Denumerable Markov stopping games with risk-sensitive total reward criterion.
- Discounted approximations in risk-sensitive average Markov cost chains with finite state space
- Markov decision processes under risk sensitivity: a discount vanishing approach
- Asymptotic behavior of random coefficient INAR model under random environment defined by difference equation
- Risk-Sensitive Average Optimality for Discrete-Time Markov Decision Processes
- Random recurrence equations and ruin in a Markov-dependent stochastic economic environment
- Risk-sensitive average Markov decision processes in general spaces
- The vanishing discount approach in a class of zero-sum finite games with risk-sensitive average criterion
- Large deviations for additive functionals of Markov chains
- Nonzero-sum risk-sensitive average stochastic games: The case of unbounded costs
- A sensitivity formula for risk-sensitive cost and the actor-critic algorithm
- Discounted approximations to the risk-sensitive average cost in finite Markov chains
- Identification of the rate function for large deviations of an irreducible Markov chain
- Characterization of the optimal average cost in Markov decision chains driven by a risk-seeking controller
- Nonzero-sum risk-sensitive stochastic games on a countable state space
- Discrete-time zero-sum games for Markov chains with risk-sensitive average cost criterion
- Approximating a diffusion by a finite-state hidden Markov model
- Spectral theory and limit theorems for geometrically ergodic Markov processes
- Large deviation asymptotics and control variates for simulating large functions
- On tight bounds for function approximation error in risk-sensitive reinforcement learning
- Necessary and sufficient conditions for a solution to the risk-sensitive Poisson equation on a finite state space
- Large deviations for the empirical measure and empirical flow of Markov renewal processes with a countable state space
- Ergodic risk-sensitive control of Markov processes on countable state space revisited
- Phase transitions and metastability in Markovian and molecular systems
- Average optimality for risk-sensitive control with general state space
- Existence of bounded solutions to multiplicative Poisson equations under mixing property
- Hoeffding's inequality for uniformly ergodic Markov chains
- Vanishing discount approximations in controlled Markov chains with risk-sensitive average criterion
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