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.
Citation
Anna Jaśkiewicz. "Average optimality for risk-sensitive control with general state space." Ann. Appl. Probab. 17 (2) 654 - 675, April 2007. https://doi.org/10.1214/105051606000000790
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