On gradual-impulse control of continuous-time Markov decision processes with exponential utility

DOI10.1017/apr.2020.64zbMath1483.90173arXiv1811.11704OpenAlexW3184655440WikidataQ115563898 ScholiaQ115563898MaRDI QIDQ5022265

Yi Zhang, Xin Guo, Aiko Kurushima, Aleksey B. Piunovskiy

Publication date: 18 January 2022

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.11704

zbMATH Keywords

dynamic programmingcontinuous-time Markov decision processesoptimality equationgradual-impulse control

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40)

Related Items (1)

Gradual-Impulsive Control for Continuous-Time Markov Decision Processes with Total Undiscounted Costs and Constraints: Linear Programming Approach via a Reduction Method

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