Risk-sensitive continuous-time Markov decision processes with unbounded rates and Borel spaces

DOI10.1007/s10626-019-00292-yzbMath1441.93338OpenAlexW2981093916WikidataQ126992892 ScholiaQ126992892MaRDI QIDQ2177770

Junyu Zhang, Xianping Guo

Publication date: 6 May 2020

Published in: Discrete Event Dynamic Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10626-019-00292-y

zbMATH Keywords

continuous-time Markov decision processoptimal policyhistory-dependent policyfinite horizon risk-sensitive criterionunbounded transition/cost rates

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40)

Related Items (8)

Risk-sensitive discounted cost criterion for continuous-time Markov decision processes on a general state space ⋮ First passage risk probability minimization for piecewise deterministic Markov decision processes ⋮ Risk-sensitive semi-Markov decision problems with discounted cost and general utilities ⋮ Discrete-time zero-sum games for Markov chains with risk-sensitive average cost criterion ⋮ Continuous-time Markov decision processes under the risk-sensitive first passage discounted cost criterion ⋮ Unnamed Item ⋮ Risk-sensitive average continuous-time Markov decision processes with unbounded transition and cost rates ⋮ Ergodic risk-sensitive control of Markov processes on countable state space revisited

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