This paper deals with discrete-time Markov control processes on a general state space. A long-run risk-sensitive average cost criterion is used as a performance measure. The one-step cost function is nonnegative and possibly unbounded. Using the vanishing discount factor approach, the optimality inequality and an optimal stationary strategy for the decision maker are established.
Publié le : 2007-04-14
Classification:
Risk-sensitive control,
Borel state space,
average cost optimality inequality,
60J05,
90C39,
60A10
@article{1174323259,
author = {Ja\'skiewicz, Anna},
title = {Average optimality for risk-sensitive control with general state space},
journal = {Ann. Appl. Probab.},
volume = {17},
number = {1},
year = {2007},
pages = { 654-675},
language = {en},
url = {http://dml.mathdoc.fr/item/1174323259}
}
Jaśkiewicz, Anna. Average optimality for risk-sensitive control with general state space. Ann. Appl. Probab., Tome 17 (2007) no. 1, pp. 654-675. http://gdmltest.u-ga.fr/item/1174323259/