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math.OC2014
Risk-sensitive control of continuous time Markov chains
Mrinal K. Ghosh, Subhamay Saha
We study risk-sensitive control of continuous time Markov chains taking values in discrete state space. We study both finite and infinite horizon problems. In the finite horizon pr…
math.OC2014
Optimal Control of Markov Processes with Age-Dependent Transition Rates
Mrinal K. Ghosh, Subhamay Saha
We study optimal control of Markov processes with age-dependent transition rates. The control policy is chosen continuously over time based on the state of the process and its age.…