Risk-sensitive average continuous-time Markov decision processes with unbounded transition and cost rates

continuous-time Markov decision process finite approximation optimal policy risk-sensitive average optimality equation unbounded transition and cost rate

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Markov and semi-Markov decision processes (90C40)

Cites Work

Continuous-time Markov decision processes. Theory and applications
Continuous-time Markov chains. An applications-oriented approach
Discounted Continuous-Time Markov Decision Processes with Constraints: Unbounded Transition and Loss Rates
Continuous-time Markov decision processes under the risk-sensitive average cost criterion
Average optimality for risk-sensitive control with general state space
Risk-sensitive control of continuous time Markov chains
More Risk-Sensitive Markov Decision Processes
Infinite Horizon Risk Sensitive Control of Discrete Time Markov Processes under Minorization Property
Risk-Sensitive Markov Decision Processes
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Discounted continuous-time constrained Markov decision processes in Polish spaces
Finite-horizon optimality for continuous-time Markov decision processes with unbounded transition rates
Discounted Approximations for Risk-Sensitive Average Criteria in Markov Decision Chains with Finite State Space
Continuous-time Markov decision processes with risk-sensitive finite-horizon cost criterion
On risk-sensitive piecewise deterministic Markov decision processes
Risk-sensitive finite-horizon piecewise deterministic Markov decision processes
Nearly optimal policies in risk-sensitive positive dynamic programming on discrete spaces.
Average cost criterion induced by the regular utility function for continuous-time Markov decision processes
Risk-Sensitive Ergodic Control of Continuous Time Markov Processes With Denumerable State Space
Risk-sensitive control of pure jump process on countable space with near monotone cost
On solutions of Kolmogorov's equations for nonhomogeneous jump Markov processes
Risk-sensitive average optimality in Markov decision processes
Finite horizon risk-sensitive continuous-time Markov decision processes with unbounded transition and cost rates
Continuous-Time Markov Decision Processes with Exponential Utility
Risk-Sensitive Discounted Continuous-Time Markov Decision Processes with Unbounded Rates
Risk-sensitive semi-Markov decision processes with general utilities and multiple criteria
Risk-sensitive continuous-time Markov decision processes with unbounded rates and Borel spaces
Risk-sensitive average continuous-time Markov decision processes with unbounded rates

Cited In (8)

Discrete time risk sensitive control problem
Ergodic risk-sensitive control of Markov processes on countable state space revisited
Nonzero-sum risk-sensitive continuous-time stochastic games with ergodic costs
Risk-Sensitive Average Optimality for Discrete-Time Markov Decision Processes
Certainty equivalent control of discrete time Markov processes with the average reward functional
A characterization of the optimal risk-sensitive average cost in finite controlled Markov chains
Continuous-time Markov decision processes under the risk-sensitive first passage discounted cost criterion
Unbounded cost Markov decision processes with limsup and liminf average criteria: new conditions

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