Risk-sensitive average continuous-time Markov decision processes with unbounded transition and cost rates
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Publication:4997204
DOI10.1017/jpr.2020.105zbMath1470.90152MaRDI QIDQ4997204
Publication date: 28 June 2021
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/jpr.2020.105
continuous-time Markov decision process; finite approximation; optimal policy; risk-sensitive average optimality equation; unbounded transition and cost rate
90C40: Markov and semi-Markov decision processes
60J27: Continuous-time Markov processes on discrete state spaces
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