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math.OC2021★ 6 cited
Nonzero-sum risk-sensitive continuous-time stochastic games with ergodic costs
Mrinal K Ghosh, Subrata Golui, Chandan Pal +1
We study nonzero-sum stochastic games for continuous time Markov decision processes on a denumerable state space with risk-sensitive ergodic cost criterion. Transition rates and co…
math.OC2021★ 18 cited
Ergodic Risk-Sensitive Control of Markov Processes on Countable State Space Revisited
Anup Biswas, Somnath Pradhan
We consider a large family of discrete and continuous time controlled Markov processes and study an ergodic risk-sensitive minimization problem. Under a blanket stability assumptio…