SIAM Journal on Control and Optimization · 1999 · 155 citations · 13 references
EngineeringMathematicsRisk ManagementProbability TheoryRisk AnalysisStochastic ProcessesBellman EquationsDiscrete-time Stochastic ProcessesErgodic TheoryMarkov ChainsMarkov ProcessesStochastic ControlAverage Cost FunctionsDiscrete-time Markov ProcessesErgodicity ConditionsFinite Horizon ControlInfinite-horizon Bellman EquationsOptimal Control Of Stochastic SystemsOptimal Policy ExistenceRisk-sensitive Bellman Equations
In this paper we study existence of solutions to the Bellman equation corresponding to risk-sensitive ergodic control of discrete-time Markov processes using three different approaches. Also, for particular classes of systems, asymptotics for vanishing risk factor is investigated, showing that in the limit the optimal value for an average cost per unit time is obtained.
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Richard Bellman · IEEE Transactions on Circuit Theory · 1964 · 1K citations
Risk-sensitive linear/quadratic/gaussian control
Peter Whittle · Advances in Applied Probability · 1981 · 499 citations