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math.OC2026
Blackwell optimality in risk-sensitive stochastic control
Marcin Pitera, Łukasz Stettner
In this paper, we consider a discrete-time Markov Decision Process (MDP) on a finite state-action space with a long-run risk-sensitive criterion used as the objective function. We…
math.OC2026
Policy stability and ultimate stationarity in discounted risk-sensitive stochastic control
Nicole Bäuerle, Marcin Pitera, Łukasz Stettner
We study discrete-time Markov Decision Processes (MDPs) on finite state-action spaces and analyze the stability of optimal policies and value functions in the long-run discounted r…