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math.OC2025
Discrete-Time Approximations of Controlled Diffusions with Infinite Horizon Discounted and Average Cost
Somnath Pradhan, Serdar Yuksel
We present discrete-time approximation of optimal control policies for infinite horizon discounted/ergodic control problems for controlled diffusions in $\Rd$\,. In particular, our…
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.OC2019
On the policy improvement algorithm for ergodic risk-sensitive control
Ari Arapostathis, Anup Biswas, Somnath Pradhan
In this article we consider the ergodic risk-sensitive control problem for a large class of multidimensional controlled diffusions on the whole space. We study the minimization and…