Risk-sensitive average continuous-time Markov decision processes with unbounded transition and cost rates

DOI10.1017/jpr.2020.105zbMath1470.90152MaRDI QIDQ4997204

Xin Guo, Yong-hui Huang

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

zbMATH Keywords

continuous-time Markov decision process; finite approximation; optimal policy; risk-sensitive average optimality equation; unbounded transition and cost rate

Mathematics Subject Classification ID

90C40: Markov and semi-Markov decision processes

60J27: Continuous-time Markov processes on discrete state spaces

Related Items

Ergodic risk-sensitive control of Markov processes on countable state space revisited, Certainty equivalent control of discrete time Markov processes with the average reward functional, Nonzero-sum risk-sensitive continuous-time stochastic games with ergodic costs, Continuous-time Markov decision processes under the risk-sensitive first passage discounted cost criterion

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