Average optimality for risk-sensitive control with general state space - Quantitative Finance Risk ManagementReport as inadecuate




Average optimality for risk-sensitive control with general state space - Quantitative Finance Risk Management - Download this document for free, or read online. Document in PDF available to download.

Abstract: This paper deals with discrete-time Markov control processes on a generalstate space. A long-run risk-sensitive average cost criterion is used as aperformance measure. The one-step cost function is nonnegative and possiblyunbounded. Using the vanishing discount factor approach, the optimalityinequality and an optimal stationary strategy for the decision maker areestablished.



Author: Anna Jaśkiewicz

Source: https://arxiv.org/







Related documents