An average-value-at-risk criterion for Markov decision processes with unbounded costs
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Cites work
- scientific article; zbMATH DE number 1325008 (Why is no real title available?)
- scientific article; zbMATH DE number 700091 (Why is no real title available?)
- Continuous-Time Markov Decision Processes with Discounted Rewards: The Case of Polish Spaces
- Controlled Markov decision processes with AVaR criteria for unbounded costs
- Credit risk optimization with conditional Value-at-Risk criterion
- Markov control models with unknown random state-action-dependent discount factors
- Markov decision processes with applications to finance.
- Markov decision processes with average-value-at-risk criteria
- Markov decision processes with iterated coherent risk measures
- Markov decision processes with state-dependent discount factors and unbounded rewards/costs
- Minimum average value-at-risk for finite horizon semi-Markov decision processes in continuous time
- Nonstationary discrete-time deterministic and stochastic control systems: bounded and unbounded cases
- Optimization of Markov decision processes under the variance criterion
- Time consistent dynamic risk measures
- Variance minimization of parameterized Markov decision processes
Cited in
(6)- Markov decision processes with average-value-at-risk criteria
- Minimum average value-at-risk for finite horizon semi-Markov decision processes in continuous time
- Conditional value-at-risk for reachability and mean payoff in Markov decision processes
- Optimality Inequalities for Average Cost Markov Decision Processes and the Stochastic Cash Balance Problem
- Unbounded cost Markov decision processes with limsup and liminf average criteria: new conditions
- Controlled Markov decision processes with AVaR criteria for unbounded costs
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