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

DOI10.1007/S00186-022-00779-9zbMath1494.90125arXiv2104.12366OpenAlexW3158881447MaRDI QIDQ2148915

Subrata Golui, Chandan Pal

Publication date: 24 June 2022

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2104.12366

zbMATH Keywords

optimal controlHJB equationcontinuous-time Markov decision processgeneral state spacehistory-dependent controlrisk-sensitive discounted criterion

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40)

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