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
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Creator |
KUMAR, KS
PAL, C |
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Subject |
Risk-sensitive control
Controlled Markov chain Multiplicative dynamic programming principle Harnack's inequality Near monotone cost MARKOV-PROCESSES |
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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.
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Publisher |
SPRINGER
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Date |
2014-10-16T05:46:07Z
2014-10-16T05:46:07Z 2013 |
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Type |
Article
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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 |
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Language |
en
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