SIAM Journal on Control and Optimization, Vol.46, No.1, 231-252, 2007
Infinite horizon risk sensitive control of discrete time Markov processes under minorization property
Risk sensitive control of Markov processes satisfying the minorization property is studied using splitting techniques. Existence of solutions to the multiplicative Poisson equation is shown. Approximation by uniformly ergodic controlled Markov processes is introduced, which allows us to show the existence of solutions to the infinite horizon risk sensitive Bellman equation.
Keywords:risk sensitive control;discrete time Markov processes;splitting;Poisson equation;Bellman equation