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A characterization of exponential functionals in finite Markov chains

Author

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  • Rolando Cavazos–Cadena
  • Daniel Hernández–Hernández

Abstract

This work considers Markov chains with finite state space. It is supposed that the process has a single recurrent class, but the set of transient states is not necessarily empty. In this context, a Varadhan’s function, giving the exponential grow rate of an aggregated cost function, is studied. The main result establishes that this functional is the optimal value of a minimization problem on the Euclidean space whose dimension equals the number of states. Copyright Springer-Verlag 2004

Suggested Citation

  • Rolando Cavazos–Cadena & Daniel Hernández–Hernández, 2004. "A characterization of exponential functionals in finite Markov chains," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 60(3), pages 399-414, December.
    • Handle: RePEc:spr:mathme:v:60:y:2004:i:3:p:399-414
    DOI: 10.1007/s001860400373
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    Cited by:

    1. Karel Sladký, 2013. "Risk-Sensitive and Mean Variance Optimality in Markov Decision Processes," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 7(3), pages 146-161, November.

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