This talk will describe a variational formula for risk-sensitive reward. This extends the Donsker-Varadhan characterization of principal eigenvalue of a non-negative matrix in discrete case and an elliptic operator in the continuous case. One application to linear and dynamic programming approaches for risk-sensitive control of finite Markov cha...
Borkar, Vivek (Indian Institute of Technology)
University of Minnesota, Institute for Mathematics and its Applications.