Risk-sensitive control of continuous time Markov chains
From MaRDI portal
Publication:2811098
DOI10.1080/17442508.2013.872644zbMath1337.49046arXiv1409.4032OpenAlexW2028535981MaRDI QIDQ2811098
Subhamay Saha, Mrinal K. Ghosh
Publication date: 10 June 2016
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1409.4032
Poisson equationHJB equationrisk-sensitive controlmultiplicative ergodic theorempolicy improvement algorithminfinite horizon discounted costinfinite horizon average costfinite horizon problem
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Continuous-time Markov processes on discrete state spaces (60J27)
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