Risk-sensitive control of pure jump process on countable space with near monotone cost
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Publication:2441391
DOI10.1007/s00245-013-9208-2zbMath1282.93278MaRDI QIDQ2441391
Publication date: 24 March 2014
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-013-9208-2
risk-sensitive control; Harnack's inequality; controlled Markov chain; multiplicative dynamic programming principle; near monotone cost
49L20: Dynamic programming in optimal control and differential games
60J10: Markov chains (discrete-time Markov processes on discrete state spaces)
93E20: Optimal stochastic control
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