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Risk-Sensitive Ergodic Control of Continuous Time Markov Processes With Denumerable State Space

DSpace at IIT Bombay

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Title Risk-Sensitive Ergodic Control of Continuous Time Markov Processes With Denumerable State Space
 
Creator KUMAR, KS
PAL, C
 
Subject SPECTRAL THEORY
MONOTONE COST
Risk-sensitive control
Controlled Markov chain
Multiplicative dynamic programming principle
Twisted kernel
Geometric ergodicity
 
Description In this article, we study risk-sensitive control problem with controlled continuous time Markov chain state dynamics. Using multiplicative dynamic programming principle along with the atomic structure of the state dynamics, we prove the existence and a characterization of optimal risk-sensitive control under geometric ergodicity of the state dynamics along with a smallness condition on the running cost.
 
Publisher TAYLOR & FRANCIS INC
 
Date 2016-01-15T08:02:13Z
2016-01-15T08:02:13Z
2015
 
Type Article
 
Identifier STOCHASTIC ANALYSIS AND APPLICATIONS, 33(5)863-881
0736-2994
1532-9356
http://dx.doi.org/10.1080/07362994.2015.1050674
http://dspace.library.iitb.ac.in/jspui/handle/100/18116
 
Language en