Markov decision processes with iterated coherent risk measures

DOI10.1080/00207179.2014.909947zbMath1308.93222OpenAlexW2057476831MaRDI QIDQ2938604

Shanyun Chu, Yi Zhang

Publication date: 14 January 2015

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207179.2014.909947

zbMATH Keywords

Markov decision processoptimality equationiterated coherent risk measure

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40)

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