On risk-sensitive piecewise deterministic Markov decision processes
This paper is devoted to a risk-sensitive piecewise deterministic Markov process (PDMDP) in Borel state and an action space with nonnegative cost rate. The transition and cost rates are assumed to be weakly integrable along the drift and the exponential utility of the total cost has to be minimized. The authors show that the value function is a solution to the optimality equation, justify the value iteration algorithm and prove the existence of the deterministic stationary policy. It should be stressed that a PDMDP, not systematically earlier studied in the literature, is an extention of a continuous-time Markov decision process (CTMDP), where between consecutive jumps, the process evolves according to a deterministic Markov process. The obtained results are further applied to improve the known results for finite horizon undisconected and infinite horizon disconected risk-sensitive CTMDP presented in: [\textit{M. K. Ghosh} and \textit{S. Saha}, Stochastics 86, No. 4, 655--675 (2014; Zbl 1337.49046)] and [\textit{Q. Wei}, Math. Methods Oper. Res. 84, No. 3, 461--487 (2016; Zbl 1354.93179)].
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