A poisson equation for the risk-sensitive average cost in semi-markov chains

作者：Cavazos Cadena Rolando^*

来源：Discrete Event Dynamic Systems, 2016, 26(4): 633-656.

DOI：10.1007/s10626-015-0224-z

• Exponential utility
• Stopping time
• Non-linear certainty-equivalent
• Communicating underlying chain

This work concerns semi-Markov chains evolving on a finite state space. The system development generates a cost when a transition is announced, as well as a holding cost which is incurred continuously during each sojourn time. It is assumed that these costs are paid by an observer with positive and constant risk-sensitivity, and the overall performance of the system is measured by the corresponding (long-run) risk-sensitive average cost criterion. In this framework, conditions are provided under which the average index does not depend on the initial state and is characterized in terms of a single Poisson equation.

• 出版日期2016-12