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Applied Mathematics and Optimization, Vol.68, No.3, 311-331, 2013
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.
Keywords:Risk-sensitive control;Controlled Markov chain;Multiplicative dynamic programming principle;Harnack's inequality;Near monotone cost