Long-run risk sensitive dyadic impulse control

DOI10.1007/S00245-019-09631-9MaRDI QIDQ2045108zbMATH OpenOpenAlexWikidataFDO

Authors Marcin Pitera, Łukasz Stettner

Publication date 11 August 2021

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1906.06389

zbMATH Keywords

Bellman equationentropic risk measureimpulse controlnon-uniformly ergodic Markov processrisk sensitive controlweight norm

Mathematics Subject Classification ID

Risk models (general) (91B05) Impulsive control/observation systems (93C27) Optimal stochastic control (93E20)

Abstract: In this paper long-run risk sensitive optimisation problem is studied with dyadic impulse control applied to continuous-time Feller-Markov process. In contrast to the existing literature, focus is put on unbounded and non-uniformly ergodic case by adapting the weight norm approach. In particular, it is shown how to combine geometric drift with local minorisation property in order to extend local span-contraction approach when the process as well as the linked reward/cost functions are unbounded. For any predefined risk-aversion parameter, the existence of solution to suitable Bellman equation is shown and linked to the underlying stochastic control problem. For completeness, examples of uncontrolled processes that satisfy the geometric drift assumption are provided.

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Cited in

(5)

• Long-run risk-sensitive impulse control
• Certainty equivalent control of discrete time Markov processes with the average reward functional
• Asymptotics of impulse control problem with multiplicative reward
• Existence of bounded solutions to multiplicative Poisson equations under mixing property
• Discrete time risk sensitive control problem

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