Risk-Sensitive Ergodic Control of Continuous Time Markov Processes With Denumerable State Space
2015
In this article, we study risk-sensitive control problem with controlled continuous time Markov chain state dynamics. Using multiplicative dynamic programming principle along with the atomic structure of the state dynamics, we prove the existence and a characterization of optimal risk-sensitive control under geometric ergodicity of the state dynamics along with a smallness condition on the running cost.
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