Minimum average value-at-risk for finite horizon semi-Markov decision processes in continuous time
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Publication:3465235
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Cites work
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- Coherent measures of risk
- Credit risk optimization with conditional Value-at-Risk criterion
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- Finite horizon semi-Markov decision processes with application to maintenance systems
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- scientific article; zbMATH DE number 1325008 (Why is no real title available?)
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- Optimal risk probability for first passage models in semi-Markov decision processes
- Risk-averse dynamic programming for Markov decision processes
- Successive Approximations for Finite Horizon, Semi-Markov Decision Processes with Application to Asset Liquidation
- Time consistent dynamic risk measures
- Two Types of Risk
- Variance minimization and the overtaking optimality approach to continuous-time controlled Markov chains
- Vector-valued coherent risk measures
Cited in
(8)- Optimal intervention in semi-Markov-based asynchronous probabilistic Boolean networks
- Markov decision processes with average-value-at-risk criteria
- An average-value-at-risk criterion for Markov decision processes with unbounded costs
- Controlled Markov decision processes with AVaR criteria for unbounded costs
- Optimal Control of Conditional Value-at-Risk in Continuous Time
- Zero-sum stochastic games with the average-value-at-risk criterion
- Zero-sum risk-sensitive continuous-time stochastic games with unbounded reward and transition rates in Borel spaces
- Finite horizon semi-Markov games with the expected-positive-deviation criterion
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