Risk-Sensitive Control of Pure Jump Process on Countable Space with Near Monotone Cost
Journal Article
·
· Applied Mathematics and Optimization
- Indian Institute of Technology Bombay, Department of Mathematics (India)
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.
- OSTI ID:
- 22309139
- Journal Information:
- Applied Mathematics and Optimization, Vol. 68, Issue 3; Other Information: Copyright (c) 2013 Springer Science+Business Media New York; http://www.springer-ny.com; Country of input: International Atomic Energy Agency (IAEA); ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
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