First passage risk probability optimality for continuous time Markov decision processes.
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Cites work
- A minimization problem of the risk probability in first passage semi-Markov decision processes with loss rates
- Another set of verifiable conditions for average Markov decision processes with Borel spaces.
- Constrained Markov decision processes with first passage criteria
- Continuous Time Discounted Jump Markov Decision Processes: A Discrete-Event Approach
- Continuous-time Markov decision processes. Theory and applications
- Control of ruin probabilities by discrete-time investments
- Discounted continuous-time Markov decision processes with unbounded rates: the convex analytic approach
- Finite-horizon optimality for continuous-time Markov decision processes with unbounded transition rates
- First passage models for denumerable semi-Markov decision processes with nonnegative discounted costs
- First passage optimality and variance minimisation of Markov decision processes with varying discount factors
- First Passage Optimality for Continuous-Time Markov Decision Processes With Varying Discount Factors and History-Dependent Policies
- First passage problems for nonstationary discrete-time stochastic control systems
- scientific article; zbMATH DE number 167294 (Why is no real title available?)
- scientific article; zbMATH DE number 1325008 (Why is no real title available?)
- scientific article; zbMATH DE number 700091 (Why is no real title available?)
- Markov decision processes with applications to finance.
- Markov decision processes with distribution function criterion of first-passage time
- Mean-variance optimality for semi-Markov decision processes under first passage criteria.
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- Minimum risk probability for finite horizon semi-Markov decision processes
- Optimal models for the first arrival time distribution function in continuous time -- with a special case
- Optimal risk probability for first passage models in semi-Markov decision processes
- Optimal threshold probability in undiscounted Markov decision processes with a target set.
- Optimization models for the first arrival target distribution function in discrete time
- The risk probability criterion for discounted continuous-time Markov decision processes
Cited in
(7)- The risk probability criterion for discounted continuous-time Markov decision processes
- Continuous-time Markov decision processes under the risk-sensitive first passage discounted cost criterion
- First Passage Optimality for Continuous-Time Markov Decision Processes With Varying Discount Factors and History-Dependent Policies
- A Direct Approach to a First-Passage Problem with Applications in Risk Theory
- Risk probability optimization problem for finite horizon continuous time Markov decision processes with loss rate.
- First Passage Exponential Optimality Problem for Semi-Markov Decision Processes
- Minimizing risk probability for infinite discounted piecewise deterministic Markov decision processes.
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