Bielecki, Tomasz; Hernández-Hernández, Daniel; … - In: Mathematical Methods of Operations Research 50 (1999) 2, pp. 167-188
In this paper we extend standard dynamic programming results for the risk sensitive optimal control of discrete time Markov chains to a new class of models. The state space is only finite, but now the assumptions about the Markov transition matrix are much less restrictive. Our results are then...
