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Risk-Sensitive Control of Pure Jump Process on Countable Space with Near Monotone Cost

DSpace at IIT Bombay

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Title Risk-Sensitive Control of Pure Jump Process on Countable Space with Near Monotone Cost
 
Creator KUMAR, KS
PAL, C
 
Subject Risk-sensitive control
Controlled Markov chain
Multiplicative dynamic programming principle
Harnack's inequality
Near monotone cost
MARKOV-PROCESSES
 
Description In this article, we study risk-sensitive control problem with controlled continuous time pure jump process on a countable space as state dynamics. We prove multiplicative dynamic programming principle, elliptic and parabolic Harnack's inequalities. Using the multiplicative dynamic programing principle and the Harnack's inequalities, we prove the existence and a characterization of optimal risk-sensitive control under the near monotone condition.
 
Publisher SPRINGER
 
Date 2014-10-16T05:46:07Z
2014-10-16T05:46:07Z
2013
 
Type Article
 
Identifier APPLIED MATHEMATICS AND OPTIMIZATION, 68(3)311-331
0095-4616
1432-0606
http://dx.doi.org/10.1007/s00245-013-9208-2
http://dspace.library.iitb.ac.in/jspui/handle/100/15372
 
Language en