Risk-sensitive discounted cost criterion for Continuous-time Markov decision processes on a general state space
In this paper, we consider risk-sensitive discounted control problem for continuous-time jump Markov processes taking values in general state space. The transition rates of underlying continuous-time jump Markov processes and the cost rates are allowed to be unbounded. Under certain Lyapunov conditi...
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| creator | Pal, Chandan Golui, Subrata |
| description | In this paper, we consider risk-sensitive discounted control problem for
continuous-time jump Markov processes taking values in general state space. The
transition rates of underlying continuous-time jump Markov processes and the
cost rates are allowed to be unbounded. Under certain Lyapunov condition, we
establish the existence and uniqueness of the solution to the
Hamilton-Jacobi-Bellman (HJB) equation. Also we prove the existence of optimal
risk-sensitive control in the class of Markov control. |
| doi_str_mv | 10.48550/arxiv.2104.12366 |
| format | Article |
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continuous-time jump Markov processes taking values in general state space. The
transition rates of underlying continuous-time jump Markov processes and the
cost rates are allowed to be unbounded. Under certain Lyapunov condition, we
establish the existence and uniqueness of the solution to the
Hamilton-Jacobi-Bellman (HJB) equation. Also we prove the existence of optimal
risk-sensitive control in the class of Markov control.</description><identifier>DOI: 10.48550/arxiv.2104.12366</identifier><language>eng</language><subject>Mathematics - Optimization and Control</subject><creationdate>2021-04</creationdate><rights>http://creativecommons.org/licenses/by/4.0</rights><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>228,230,776,881</link.rule.ids><linktorsrc>$$Uhttps://arxiv.org/abs/2104.12366$$EView_record_in_Cornell_University$$FView_record_in_$$GCornell_University$$Hfree_for_read</linktorsrc><backlink>$$Uhttps://doi.org/10.48550/arXiv.2104.12366$$DView paper in arXiv$$Hfree_for_read</backlink></links><search><creatorcontrib>Pal, Chandan</creatorcontrib><creatorcontrib>Golui, Subrata</creatorcontrib><title>Risk-sensitive discounted cost criterion for Continuous-time Markov decision processes on a general state space</title><description>In this paper, we consider risk-sensitive discounted control problem for
continuous-time jump Markov processes taking values in general state space. The
transition rates of underlying continuous-time jump Markov processes and the
cost rates are allowed to be unbounded. Under certain Lyapunov condition, we
establish the existence and uniqueness of the solution to the
Hamilton-Jacobi-Bellman (HJB) equation. Also we prove the existence of optimal
risk-sensitive control in the class of Markov control.</description><subject>Mathematics - Optimization and Control</subject><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2021</creationdate><recordtype>article</recordtype><sourceid>GOX</sourceid><recordid>eNotj81KxDAURrNxIaMP4Mq8QGvatPlZSvEPRgSZfblNbyXMTFJy06Jv78zo6uPAx4HD2F0lysa0rXiA9O3Xsq5EU1a1VOqaxU9P-4IwkM9-RT56cnEJGUfuImXuks-YfAx8iol3MWQflrhQkf0R-TukfVz5iM7T-TOn6JAIiZ8A-BcGTHDglCEjpxkc3rCrCQ6Et_-7Ybvnp133Wmw_Xt66x20BSqvCTsMotHW11cKdYHCNgVFaqa11YIzEQZumtYObjMBp1BoUKmUkyKlVRsgNu__TXor7OfkjpJ_-XN5fyuUvn5RWhQ</recordid><startdate>20210426</startdate><enddate>20210426</enddate><creator>Pal, Chandan</creator><creator>Golui, Subrata</creator><scope>AKZ</scope><scope>GOX</scope></search><sort><creationdate>20210426</creationdate><title>Risk-sensitive discounted cost criterion for Continuous-time Markov decision processes on a general state space</title><author>Pal, Chandan ; Golui, Subrata</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-a676-9fbd079c2970c9fbbc48ad393799ca883eb78459bcf80efd77a6e6683a3f56803</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2021</creationdate><topic>Mathematics - Optimization and Control</topic><toplevel>online_resources</toplevel><creatorcontrib>Pal, Chandan</creatorcontrib><creatorcontrib>Golui, Subrata</creatorcontrib><collection>arXiv Mathematics</collection><collection>arXiv.org</collection></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext_linktorsrc</fulltext></delivery><addata><au>Pal, Chandan</au><au>Golui, Subrata</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Risk-sensitive discounted cost criterion for Continuous-time Markov decision processes on a general state space</atitle><date>2021-04-26</date><risdate>2021</risdate><abstract>In this paper, we consider risk-sensitive discounted control problem for
continuous-time jump Markov processes taking values in general state space. The
transition rates of underlying continuous-time jump Markov processes and the
cost rates are allowed to be unbounded. Under certain Lyapunov condition, we
establish the existence and uniqueness of the solution to the
Hamilton-Jacobi-Bellman (HJB) equation. Also we prove the existence of optimal
risk-sensitive control in the class of Markov control.</abstract><doi>10.48550/arxiv.2104.12366</doi><oa>free_for_read</oa></addata></record> |
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| subjects | Mathematics - Optimization and Control |
| title | Risk-sensitive discounted cost criterion for Continuous-time Markov decision processes on a general state space |
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