Ergodic risk-sensitive control of Markov processes on countable state space revisited
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Publication:5864585
Abstract: We consider a large family of discrete and continuous time controlled Markov processes and study an ergodic risk-sensitive minimization problem. Under a blanket stability assumption, we provide a complete analysis to this problem. In particular, we establish uniqueness of the value function and verification result for optimal stationary Markov controls, in addition to the existence results. We also revisit this problem under a near-monotonicity condition but without any stability hypothesis. Our results also include policy improvement algorithms both in discrete and continuous time frameworks.
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Cited in
(11)- On the policy improvement algorithm for ergodic risk-sensitive control
- Existence of bounded solutions to multiplicative Poisson equations under mixing property
- Discrete time risk sensitive control problem
- Risk-sensitive average Markov decision processes in general spaces
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