The Annals of Applied Probability

Average optimality for risk-sensitive control with general state space

Anna Jaśkiewicz

Full-text: Open access

Abstract

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.

Article information

Source
Ann. Appl. Probab., Volume 17, Number 2 (2007), 654-675.

Dates
First available in Project Euclid: 19 March 2007

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1174323259

Digital Object Identifier
doi:10.1214/105051606000000790

Mathematical Reviews number (MathSciNet)
MR2308338

Zentralblatt MATH identifier
1128.93056

Subjects
Primary: 60J05: Discrete-time Markov processes on general state spaces 90C39: Dynamic programming [See also 49L20]
Secondary: 60A10: Probabilistic measure theory {For ergodic theory, see 28Dxx and 60Fxx}

Keywords
Risk-sensitive control Borel state space average cost optimality inequality

Citation

Jaśkiewicz, Anna. Average optimality for risk-sensitive control with general state space. Ann. Appl. Probab. 17 (2007), no. 2, 654--675. doi:10.1214/105051606000000790. https://projecteuclid.org/euclid.aoap/1174323259


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