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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Veröffentlicht in: | arXiv.org 2021-04 |
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Format: | Artikel |
Sprache: | eng |
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Zusammenfassung: | 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. |
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ISSN: | 2331-8422 |