Cavazos-Cadena, Rolando; Fernández-Gaucherand, Emmanuel - In: Mathematical Methods of Operations Research 49 (1999) 2, pp. 299-324
We study controlled Markov chains with denumerable state space and bounded costs per stage. A (long-run) risk-sensitive average cost criterion, associated to an exponential utility function with a constant risk sensitivity coefficient, is used as a performance measure. The main assumption on the...
