Risk-sensitive stopping problems for continuous-time Markov chains

DOI10.1080/17442508.2017.1357724zbMath1495.60028arXiv1610.05922OpenAlexW2536493468MaRDI QIDQ5085843

Anton Popp, Nicole Bäuerle

Publication date: 30 June 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.05922

zbMATH Keywords

certainty equivalentrisk-aversionexponential utilityMarkov decision problem

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Markov and semi-Markov decision processes (90C40) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (8)

Optimal stopping time on semi-Markov processes with finite horizon ⋮ Gradual-Impulsive Control for Continuous-Time Markov Decision Processes with Total Undiscounted Costs and Constraints: Linear Programming Approach via a Reduction Method ⋮ Risk sensitive optimal stopping ⋮ Finite horizon risk-sensitive continuous-time Markov decision processes with unbounded transition and cost rates ⋮ Integro-differential optimality equations for the risk-sensitive control of piecewise deterministic Markov processes ⋮ Optimal stopping time on discounted semi-Markov processes ⋮ Risk-sensitive optimal stopping with unbounded terminal cost function ⋮ On gradual-impulse control of continuous-time Markov decision processes with exponential utility

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