Discounted approximations to the risk-sensitive average cost in finite Markov chains
From MaRDI portal
Publication:2408779
DOI10.1016/j.jmaa.2017.01.084zbMath1382.60094OpenAlexW2585760530MaRDI QIDQ2408779
Rolando Cavazos-Cadena, Daniel Cruz-Suárez
Publication date: 13 October 2017
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2017.01.084
Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)
Related Items (4)
Discounted approximations in risk-sensitive average Markov cost chains with finite state space ⋮ Markov decision processes under risk sensitivity: a discount vanishing approach ⋮ The Vanishing Discount Approach in a class of Zero-Sum Finite Games with Risk-Sensitive Average Criterion ⋮ Vanishing discount approximations in controlled Markov chains with risk-sensitive average criterion
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Long run risk sensitive portfolio with general factors
- Markov decision processes with applications to finance.
- Infinite horizon risk sensitive control of discrete time Markov processes with small risk
- Adaptive Markov control processes
- Spectral theory and limit theorems for geometrically ergodic Markov processes
- Multiplicative ergodicity and large deviations for an irreducible Markov chain.
- Risk sensitive portfolio optimization
- Continuity of the optimal average cost in Markov decision chains with small risk-sensitivity
- Average optimality for risk-sensitive control with general state space
- The vanishing discount approach in Markov chains with risk-sensitive criteria
- Risk-Sensitive Markov Control Processes
- A Turnpike Theorem For A Risk-Sensitive Markov Decision Process with Stopping
- Discrete-Time Controlled Markov Processes with Average Cost Criterion: A Survey
- Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon
- More Risk-Sensitive Markov Decision Processes
- Infinite Horizon Risk Sensitive Control of Discrete Time Markov Processes under Minorization Property
- Risk-Sensitive Markov Decision Processes
- Risk-Sensitive Optimal Control for Markov Decision Processes with Monotone Cost
This page was built for publication: Discounted approximations to the risk-sensitive average cost in finite Markov chains