Department of Mathematics

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Browsing Department of Mathematics by Subject "Discounted Problems"

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    Risk-Sensitive Stochastic Control and Games
    (2023) Golui, Subrata
    This thesis considers risk-sensitive stochastic control and game problems on countable/Borel state space for discrete/continuous-time Markov decision processes (MDPs) under certain Lyapunov conditions. Here, infinite horizon control/game problems are analyzed with various cost criteria. The controllers can take action in discrete/continuous time from their admissible strategies.