A poisson equation for the risk-sensitive average cost in semi-markov chains

被引：3

作者：

Cavazos-Cadena, Rolando ^{[1
]}

机构：

[1] Univ Autonoma Agr Antonio Narro, Dept Estadisitca & Calculo, Blvd Antonio Narro 1923, Saltillo 25315, Coahuila, Mexico

来源：

DISCRETE EVENT DYNAMIC SYSTEMS-THEORY AND APPLICATIONS | 2016年 / 26卷 / 04期

关键词：

Exponential utility; Stopping time; Non-linear certainty-equivalent; Communicating underlying chain; INFINITE-HORIZON RISK; OPTIMALITY; SYSTEM;

D O I：

10.1007/s10626-015-0224-z

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This work concerns semi-Markov chains evolving on a finite state space. The system development generates a cost when a transition is announced, as well as a holding cost which is incurred continuously during each sojourn time. It is assumed that these costs are paid by an observer with positive and constant risk-sensitivity, and the overall performance of the system is measured by the corresponding (long-run) risk-sensitive average cost criterion. In this framework, conditions are provided under which the average index does not depend on the initial state and is characterized in terms of a single Poisson equation.

引用

页码：633 / 656

页数：24

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