Risk-sensitive production planning

@article{Fleming1998RisksensitivePP,
  title={Risk-sensitive production planning},
  author={Wendell H. Fleming and Qing Zhang},
  journal={Proceedings of the 37th IEEE Conference on Decision and Control (Cat. No.98CH36171)},
  year={1998},
  volume={3},
  pages={2686-2691 vol.3}
}
This paper deals with long-run average risk sensitive control of production planning in a manufacturing system with machines that are subject to breakdown and repair. By using a logarithmic transformation, it is shown that the associated Hamilton-Jacobi-Bellman equation has a viscosity solution. The risk sensitive control problem has a dynamic stochastic game interpretation. Finally, a limiting problem is obtained when the rates of machine breakdown and repair go to infinity. 

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