3 papers
math.OC2022
Discrete-time Zero-Sum Games for Markov chains with risk-sensitive average cost criterion
Mrinal K. Ghosh, Subrata Golui, Chandan Pal +1
We study zero-sum stochastic games for controlled discrete time Markov chains with risk-sensitive average cost criterion with countable state space and Borel action spaces. The pay…
math.OC2021
Zero-Sum Games for Continuous-time Markov Decision Processes with Risk-Sensitive Average Cost Criterion
Mrinal K. Ghosh, Subrata Golui, Chandan Pal +1
We consider zero-sum stochastic games for continuous time Markov decision processes with risk-sensitive average cost criterion. Here the transition and cost rates may be unbounded.…
math.OC2021
Risk-sensitive discounted cost criterion for Continuous-time Markov decision processes on a general state space
Chandan Pal, Subrata Golui
In this paper, we consider risk-sensitive discounted control problem for continuous-time jump Markov processes taking values in general state space. The transition rates of underly…