Average optimality for risk-sensitive control with general state space

Details Average optimality for risk-sensitive control with general state space Average optimality for risk-sensitive control with general state space

2007-04-03

arxiv.org/abs/0704.0394v1

Annals of Applied Probability 2007, Vol. 17, No. 2, 654-675

Economy

Quantitative Finance

Risk Management

Published at http://dx.doi.org/10.1214/105051606000000790 in the Annals of Applied Probability (http://www.imstat.org/aap/) by

Scientific paper

10.1214/105051606000000790

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.

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