Risk-sensitive discounted cost criterion for Continuous-time Markov decision processes on a general state space

Abstract

In this paper, we consider risk-sensitive discounted control problem for continuous-time jump Markov processes taking values in general state space. The transition rates of underlying continuous-time jump Markov processes and the cost rates are allowed to be unbounded. Under certain Lyapunov condition, we establish the existence and uniqueness of the solution to the Hamilton-Jacobi-Bellman (HJB) equation. Also we prove the existence of optimal risk-sensitive control in the class of Markov control.