Average cost criterion induced by the regular utility function for continuous-time Markov decision processes
DOI10.1007/S10626-017-0237-XzbMATH Open1374.93388OpenAlexW2591387921MaRDI QIDQ1677191FDOQ1677191
Authors: Qingda Wei, Xian Chen 
Publication date: 10 November 2017
Published in: Discrete Event Dynamic Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10626-017-0237-x
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optimal policycontinuous-time Markov decision processes\(U\)-average cost criterionregular utility function
Continuous-time Markov processes on discrete state spaces (60J27) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20)
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- A characterization of the optimal certainty equivalent of the average cost via the Arrow-Pratt sensitivity function
Cited In (7)
- Risk-sensitive average continuous-time Markov decision processes with unbounded transition and cost rates
- Risk-sensitive continuous-time Markov decision processes with unbounded rates and Borel spaces
- A cone property in the theory of risk-sensitive average criteria
- Functional characterization for average cost Markov decision processes with Doeblin's conditions
- Mean-semivariance optimality for continuous-time Markov decision processes
- A characterization of the optimal certainty equivalent of the average cost via the Arrow-Pratt sensitivity function
- Risk-sensitive average continuous-time Markov decision processes with unbounded rates
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