Seminar at SMU Delhi

January 20, 2015 (Tuesday) , 3:30 PM at Webinar
Speaker: K. Suresh, Indian Institute of Technology Bombay
Title: 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.