This work considers Markov chains with finite state space. It is supposed that the process has a single recurrent class, but the set of transient states is not necessarily empty. In this context, a Varadhan’s function, giving the exponential grow rate of an aggregated cost function, is...

This work considers Markov chains with finite state space. It is supposed that the process has a single recurrent class, but the set of transient states is not necessarily empty. In this context, a Varadhan’s function, giving the exponential grow rate of an aggregated cost function, is...

This work concerns discrete-time Markov decision processes with finite state space and bounded costs per stage. The decision maker ranks random costs via the expectation of the utility function associated to a constant risk sensitivity coefficient, and the performance of a control policy is...

This note concerns Markov decision chains with finite state and action sets. The decision maker is assumed to be risk-averse with constant risk sensitive coefficient λ, and the performance of a control policy is measured by the risk-sensitive average cost criterion. In their seminal paper...

This work concerns discrete-time Markov decision processes with finite state space and bounded costs per stage. The decision maker ranks random costs via the expectation of the utility function associated to a constant risk sensitivity coefficient, and the performance of a control policy is...

This note concerns Markov decision chains with finite state and action sets. The decision maker is assumed to be risk-averse with constant risk sensitive coefficient λ, and the performance of a control policy is measured by the risk-sensitive average cost criterion. In their seminal paper...