A Variational Formula for Risk-Sensitive Reward
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Publication:5737636
DOI10.1137/151002630zbMath1361.93065arXiv1501.00676OpenAlexW2963056098MaRDI QIDQ5737636
Venkat Anantharam, Vivek S. Borkar
Publication date: 24 May 2017
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1501.00676
Discrete-time Markov processes on general state spaces (60J05) Eigenvalue problems (93B60) Optimal stochastic control (93E20) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Stochastic systems in control theory (general) (93E03)
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