The risk-sensitive Poisson equation for a communicating Markov chain on a denumerable state space

Title:

The risk-sensitive Poisson equation for a communicating Markov chain on a denumerable state space

Creator:

Cavazos-Cadena, Rolando

Identifier:

https://cdk.lib.cas.cz/client/handle/uuid:ff5a7b39-4959-4a1b-8802-71d2b3db1b7a
uuid:ff5a7b39-4959-4a1b-8802-71d2b3db1b7a

Subject:

possibly transient Markov chains, discounted approach, first return time, and uniqueness of solutions to the multiplicative Poisson equation

Type:

model:article and TEXT

Format:

bez média and svazek

Description:

This work concerns a discrete-time Markov chain with time-invariant transition mechanism and denumerable state space, which is endowed with a nonnegative cost function with finite support. The performance of the chain is measured by the (long-run) risk-sensitive average cost and, assuming that the state space is communicating, the existence of a solution to the risk-sensitive Poisson equation is established, a result that holds even for transient chains. Also, a sufficient criterion ensuring that the functional part of a solution is uniquely determined up to an additive constant is provided, and an example is given to show that the uniqueness result may fail when that criterion is not satisfied.

Language:

English

Rights:

http://creativecommons.org/publicdomain/mark/1.0/
policy:public

Coverage:

[716]-736

Source:

Kybernetika | 2009 Volume:45 | Number:5

Harvested from:

CDK

Metadata only:

false