A Utility Criterion for Markov Decision Processes

Cited in

(33)

Markov perfect equilibria for risk-sensitive Markov decision processes with quasi-hyperbolic discounting
An active-set strategy to solve Markov decision processes with good-deal risk measure
Non-zero-sum stochastic games with recursive utilities of risk-sensitive players
scientific article; zbMATH DE number 5697113 (Why is no real title available?)
Process-based risk measures and risk-averse control of discrete-time systems
Risk-sensitive dynamic market share attraction games
Growth rates and average optimality in risk-sensitive Markov decision chains
Risk-sensitive dividend problems
On dynamic decision making to meet consumption targets
Risk-averse dynamic programming for Markov decision processes
Stochastic optimization of forward recursive functions
First Passage Exponential Optimality Problem for Semi-Markov Decision Processes
Continuous-time Markov decision processes with exponential utility
Markov perfect equilibria in stochastic growth models with quasi-hyperbolic discounting and risk-sensitive preferences
Approximate solutions to constrained risk-sensitive Markov decision processes
Solutions of the average cost optimality equation for finite Markov decision chains: Risk-sensitive and risk-neutral criteria
Optimizing a single-product production-inventory system under constant absolute risk aversion
Efficient algorithms for risk-sensitive Markov decision processes with limited budget
Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis
Risk-sensitive discounted continuous-time Markov decision processes with unbounded rates
Entropic risk for turn-based stochastic games
Sensitivity analysis and optimal ultimately stationary deterministic policies in some constrained discounted cost models
Stochastic games of risk-sensitive players with quasi-hyperbolic discounting
Mean, variance and probabilistic criteria in finite Markov decision processes: A review
Blackwell optimality and policy stability for long-run risk-sensitive stochastic control
On risk-sensitive piecewise deterministic Markov decision processes
Computational methods for risk-averse undiscounted transient Markov models
Optimality equations and inequalities in a class of risk-sensitive average cost Markov decision chains
A note on negative dynamic programming for risk-sensitive control
Markov decision processes with risk-sensitive criteria: an overview
On the total reward variance for continuous-time Markov reward chains
An optimality system for finite average Markov decision chains under risk-aversion
Risk-sensitive discounted Markov decision processes with unbounded reward functions and Borel spaces

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