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 controlled Markov chains on a denumerable sate space. The performance of a control policy is measured by the risk-sensitive average criterion, and it is assumed that (a) the simultaneous Doeblin condition holds, and (b) the system is communicating under the action of each...

This work is concerned with controlled Markov chains with finite state and action spaces. It is assumed that the decision maker has an arbitrary but constant risk sensitivity coefficient, and that the performance of a control policy is measured by the long-run average cost criterion. Within this...

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 controlled Markov chains on a denumerable sate space. The performance of a control policy is measured by the risk-sensitive average criterion, and it is assumed that (a) the simultaneous Doeblin condition holds, and (b) the system is communicating under the action of each...

This work is concerned with controlled Markov chains with finite state and action spaces. It is assumed that the decision maker has an arbitrary but constant risk sensitivity coefficient, and that the performance of a control policy is measured by the long-run average cost criterion. Within this...