Existence of Risk Sensitive Optimal Stationary Policies for Controlled Markov Processes
نویسنده
چکیده
In this paper we are concerned with the existence of optimal stationary policies for in nite horizon risk sensitive Markov control processes with denumerable state space, unbounded cost function, and long run average cost. Introducing a discounted cost dynamic game, we prove that its value function satis es an Isaacs equation, and its relationship with the risk sensitive control problem is studied. Using the vanishing discount approach, we prove that the risksensitive dynamic programming inequality holds, and derive an optimal stationary policy.
منابع مشابه
Existence of Risk Sensitive Optimal
In this paper we are concerned with the existence of optimal stationary policies for innnite horizon risk sensitive Markov control processes with denu-merable state space, unbounded cost function, and long run average cost. Introducing a discounted cost dynamic game, we prove that its value function satisses an Isaacs equation, and its relationship with the risk sensitive control problem is stu...
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