Risk-Sensitive Control of Pure Jump Process on Countable Space with Near Monotone Cost

Risk-Sensitive Control of Pure Jump Process on Countable Space with Near Monotone Cost In this article, we study risk-sensitive control problem with controlled continuous time pure jump process on a countable space as state dynamics. We prove multiplicative dynamic programming principle, elliptic and parabolic Harnack’s inequalities. Using the multiplicative dynamic programing principle and the Harnack’s inequalities, we prove the existence and a characterization of optimal risk-sensitive control under the near monotone condition. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

Risk-Sensitive Control of Pure Jump Process on Countable Space with Near Monotone Cost

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Publisher
Springer US
Copyright
Copyright © 2013 by Springer Science+Business Media New York
Subject
Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-013-9208-2
Publisher site
See Article on Publisher Site

References

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