On risk sensitive control of regular step Markov processes

DOI10.4064/AM28-3-3MaRDI QIDQ4548949zbMATH OpenOpenAlexFDO

Authors R. Sadowy

Publication date 27 August 2002

Published in Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4064/am28-3-3

zbMATH Keywords

Markov jump processesBellman equationregular step processesexistence of optimal controlrisk-sensitive ergodic control

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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Cited in

(7)

• Discrete time risk sensitive control problem
• Process-based risk measures and risk-averse control of discrete-time systems
• On risk-sensitive ergodic impulsive control of Markov processes
• Risk sensitive control of pure jump processes on a general state space
• Risk-sensitive control of pure jump process on countable space with near monotone cost
• Mathematical models of risk control for regenerating Markov processes
• Risk-sensitive Markov control processes

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