Lectures on
Probability and Stochastic Processes IX

Indian Statistical Institute, Kolkata
December 12 - 16, 2014

Risk-sensitive Ergodic Control of Continuous Time Markov Processes with Denumerable State Space

Chandan Pal

In this talk, we will discuss risk-sensitive control problem with controlled continuous time Markov chain state dynamics. Using DPP along with the atomic structure of the state dynamic, we prove the existence and a characterization of optimal risk-sensitive control under geometric ergodicity of the state dynamics along with a smallness condition on the running cost.