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On Risk-Sensitive Ergodic Impulsive Control of Markov Processes |
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| Authors: | R. Sadowy L. Stettner |
| Affiliation: | (1) Institute of Mathematics, Polish Academy of Sciences, Sniadeckich 8, 00-950 Warsaw, Poland, PL;(2) Warsaw School of Management and Marketing, Al. Jerozolimskie 202, 02-486 Warsaw, Poland, PL |
| Abstract: | Impulsive control of continuous-time Markov processes with risk- sensitive long-run average cost is considered. The most general impulsive control problem is studied under the restriction that impulses are in dyadic moments only. In a particular case of additive cost for impulses, the impulsive control problem is solved without restrictions on the moments of impulses. Accepted 30 April 2001. Online publication 29 August 2001. |
| Keywords: | . Impulsive control Risk-sensitive long-run average cost Controlled Markov processes Bellman equation. AMS Classification. Primary 93E20 Secondary 93C40 60J25. |
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