2000 character limit reached
Risk-sensitive control of continuous time Markov chains (1409.4032v1)
Published 14 Sep 2014 in math.OC
Abstract: We study risk-sensitive control of continuous time Markov chains taking values in discrete state space. We study both finite and infinite horizon problems. In the finite horizon problem we characterise the value function via HJB equation and obtain an optimal Markov control. We do the same for infinite horizon discounted cost case. In the infinite horizon average cost case we establish the existence of an optimal stationary control under certain Lyapunov condition. We also develop a policy iteration algorithm for finding an optimal control.
Paper Prompts
Sign up for free to create and run prompts on this paper using GPT-5.
Top Community Prompts
Collections
Sign up for free to add this paper to one or more collections.
