A Characterization of the optimal risk-Sensitive average cost in finite controlled Markov chains

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dc.creatorCavazos-Cadena, Rolando
dc.creatorHernandez-Hernandez, Daniel
dc.date2005-03-23
dc.date.accessioned2026-07-07T05:18:15Z
dc.date.available2026-07-07T05:18:15Z
dc.descriptionThis work concerns controlled Markov chains with finite state and action spaces. The transition law satisfies the simultaneous Doeblin condition, and the performance of a control policy is measured by the (long-run) risk-sensitive average cost criterion associated to a positive, but otherwise arbitrary, risk sensitivity coefficient. Within this context, the optimal risk-sensitive average cost is characterized via a minimization problem in a finite-dimensional Euclidean space.
dc.descriptionPublished at http://dx.doi.org/10.1214/105051604000000585 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/math/0503478
dc.identifierhttp://arxiv.org/abs/math/0503478
dc.identifierAnnals of Applied Probability 2005, Vol. 15, No. 1A, 175-212
dc.identifierdoi:10.1214/105051604000000585
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/74596
dc.subjectProbability
dc.subject93E20, 60F10,, 93C55 (Primary) . (Secondary)
dc.titleA Characterization of the optimal risk-Sensitive average cost in finite controlled Markov chains
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