Risk probability optimization problem for finite horizon continuous time Markov decision processes with loss rate

DOI10.14736/KYB-2021-2-0272zbMath1499.93083OpenAlexW3165486508MaRDI QIDQ4959621

Hai-Feng Huo, Xian Wen

Publication date: 16 September 2021

Published in: Kybernetika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14736/kyb-2021-2-0272

zbMATH Keywords

finite horizonunbounded transition rateoptimal policycontinuous-time Markov decision processesloss raterisk probability criterion

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40) Risk models (general) (91B05)

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