On Risk-Sensitive Ergodic Impulsive Control of Markov Processes |
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| Authors: | R Sadowy L Stettner |
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| Institution: | (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 |
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| 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. |
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| 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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