Continuous-time Markov decision processes with risk-sensitive finite-horizon cost criterion

DOI10.1007/s00186-016-0550-4zbMath1354.93179OpenAlexW2415572828MaRDI QIDQ510428

Qingda Wei

Publication date: 10 February 2017

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-016-0550-4

zbMATH Keywords

Feynman-Kac formulaunbounded transition ratesfinite approximationcontinuous-time Markov decision processesrisk-sensitive finite-horizon cost criterion

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40)

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