Seminar at SMU Delhi
January 20, 2015 (Tuesday) ,
3:30 PM at Webinar
Indian Institute of Technology Bombay
Risk-sensitive control problem for continuous time Markov chains
Abstract of Talk
In this talk, we consider a risk-sensitive control problem
with state dynamics given by a controlled continuous time Markov chain.
We establish the existence of value and also obtain a minimax representation
of the associted eigen value problem along the lines of Collatz-Wielandt.