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Title: 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.
Authors:
;  [1]
  1. Indian Institute of Technology Bombay, Department of Mathematics (India)
Publication Date:
OSTI Identifier:
22309139
Resource Type:
Journal Article
Resource Relation:
Journal Name: Applied Mathematics and Optimization; Journal Volume: 68; Journal 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)
Country of Publication:
United States
Language:
English
Subject:
71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS; CALCULATION METHODS; DYNAMIC PROGRAMMING; MATHEMATICAL MODELS; MATHEMATICAL SPACE; OPTIMIZATION