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20052014
most citedA Characterization of the optimal risk-Sensitive average cost in finite controlled Markov chains

20 citations

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math.PR2005★ 20 cited

A Characterization of the optimal risk-Sensitive average cost in finite controlled Markov chains

Rolando Cavazos-Cadena, Daniel Hernandez-Hernandez

This work concerns controlled Markov chains with finite state and action spaces. The transition law satisfies the simultaneous Doeblin condition, and the performance of a control p…