Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon

DOI10.1137/S0363012997320614zbMath0946.93043OpenAlexW2037197628MaRDI QIDQ4943712

Łukasz Stettner, Giovanni B. Di Masi

Publication date: 19 March 2000

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012997320614

zbMATH Keywords

Bellman equationergodic controlcontrolled discrete-time Markov processesinfinite horizon risk sensitive controlexponential ergodic performance criterion

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

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