Risk-sensitive control of branching processes

Pelin G. Canbolat

IISE Transactions, 2021, vol. 53, issue 8, 914-927

Abstract: This article solves the risk-sensitive control problem for branching processes where the one-period progeny of an individual can take values from a finite set. The decision maker is assumed to maximize the expected risk-averse exponential utility (or to minimize the expected risk-averse exponential disutility) of the rewards earned in an infinite horizon. Individuals are assumed to produce progeny independently, and with the same probability mass function if they take the same action. This article characterizes the expected disutility of stationary policies, identifies necessary and sufficient conditions for the existence of a stationary optimal policy that assigns the same action to all individuals in all periods, and discusses computational methods to obtain such a policy. Supplementary materials are available for this article. See the publisher’s online edition of IIE Transactions, datasets, additional tables, detailed proofs, etc.

Date: 2021
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/24725854.2019.1655609 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:uiiexx:v:53:y:2021:i:8:p:914-927

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/uiie20

DOI: 10.1080/24725854.2019.1655609

Access Statistics for this article

IISE Transactions is currently edited by Jianjun Shi

More articles in IISE Transactions from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().