Hernandez-Hernandez, DanielMarcus, Steven I.In this paper we consider infinite horizon risk-sensitive control of Markov processes with discrete time and denumerable state space. This problem is solved proving, under suitable conditions, that there exists a bounded solution to the dynamic programming equation. The dynamic programming equation is transformed into an Isaacs equation for a stochastic game, and the vanishing discount method is used to study its solution. In addition, we prove that the existence conditions are as well necessary.en-USrobust controlstochastic systemsintelligent servo: stochasticintelligent servo: risk sensitive controlstochastic dynamic gamesIsaac equationstochastic controlaverage costSystems Integration MethodologyTechnical Report