Solution to the risk-sensitive average optimality equation in communicating Markov decision chains with finite state space: An alternative approach

DOI10.1007/S001860200229MaRDI QIDQ1812296zbMATH OpenOpenAlexFDO

Authors Rolando Cavazos-Cadena, Daniel Hernández-Hernández

Publication date 23 June 2003

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s001860200229

zbMATH Keywords

existence resultrisk sensitive controlMarkov decision chainscontractive operatorvanishing discount approach

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40) (H^infty)-control (93B36) Optimal stochastic control (93E20)

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• Portfolio management under drawdown constraint in discrete-time financial markets
• A characterization of the optimal risk-sensitive average cost in finite controlled Markov chains
• Solutions of the average cost optimality equation for finite Markov decision chains: Risk-sensitive and risk-neutral criteria
• Markov decision processes with risk-sensitive criteria: an overview

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