Average optimality for risk-sensitive control with general state space

Anna Ja\'skiewicz

Papers from arXiv.org

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.

Date: 2007-04
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Published in Annals of Applied Probability 2007, Vol. 17, No. 2, 654-675

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0704.0394

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