Applied Mathematics and Optimization, Vol.45, No.1, 45-61, 2002
On risk-sensitive ergodic impulsive control of Markov processes
Impulsive control of continuous-time Markov processes with risk-sensitive long-run average cost is considered. The most general impulsive control problem is studied under the restriction that impulses are in dyadic moments only. In a particular case of additive cost for impulses, the impulsive control problem is solved without restrictions on the moments of impulses.
Keywords:impulsive control;risk-sensitive long-run average cost;controlled Markov processes;Bellman equation