摘要翻译：
本文研究广义状态空间上的离散马尔可夫控制过程。采用长期风险敏感平均成本准则作为孔径度量。一步代价函数是非负的且可能有界。利用消失折扣因子方法，建立了决策者的最优不等式和最优平稳策略。
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英文标题：
《Average optimality for risk-sensitive control with general state space》
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作者：
Anna Ja\'skiewicz
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最新提交年份：
2007
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  This paper deals with discrete-time Markov control processes on a generalstate space. A long-run risk-sensitive average cost criterion is used as aperformance measure. The one-step cost function is nonnegative and possiblyunbounded. Using the vanishing discount factor approach, the optimalityinequality and an optimal stationary strategy for the decision maker areestablished.
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PDF链接：
https://arxiv.org/pdf/0704.0394