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 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 note concerns Markov decision processes on a discrete state space. It is supposed that the reward function is nonnegative, and that the decision maker has a nonnull constant risk-sensitivity, which leads to grade random rewards via the expectation of an exponential utility function. The...

This note concerns discrete-time Markov decision processes with denumerable state space. A control policy is graded by the long-run expected average reward criterion, and the main feature of the model is that the reward function and the transition law depend on an unknown parameter. Besides...

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...

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...

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...