Risk-sensitive probability for Markov chains

DOI10.1016/J.SYSCONLE.2004.06.009zbMath1129.60315OpenAlexW2160799920MaRDI QIDQ2504548

Vahid Reza Ramezani, Steven I. Marcus

Publication date: 25 September 2006

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2004.06.009

zbMATH Keywords

Markov chainsasymptotic periodicityrisk-sensitive estimation

Mathematics Subject Classification ID

Stochastic programming (90C15) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20)

Cites Work

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• Risk-sensitive filtering and smoothing for hidden Markov models
• Asymptotic periodicity of the iterates of weakly constrictive Markov operators
• Risk-sensitive control and dynamic games for partially observed discrete-time nonlinear systems
• Risk-sensitive filtering and smoothing via reference probability methods
• Estimation of hidden markov models: risk-sensitive filter banks and qualitative analysis of their sample paths
• Robustness and risk-sensitive filtering

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