Average optimality for risk-sensitive control with general state space

DOI10.1214/105051606000000790zbMath1128.93056arXiv0704.0394OpenAlexW2147086938MaRDI QIDQ2455059

Anna Jaśkiewicz

Publication date: 22 October 2007

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0704.0394

zbMATH Keywords

risk-sensitive controlBorel state spaceaverage cost optimality inequality

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15)

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