On the First Passage $g$-Mean-Variance Optimality for Discounted Continuous-Time Markov Decision Processes
From MaRDI portal
Publication:5254885
DOI10.1137/140968872zbMath1322.90108MaRDI QIDQ5254885
Yi Zhang, Xianping Guo, Xiangxiang Huang
Publication date: 10 June 2015
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/140968872
continuous-time Markov decision processes; first passage \(g\)-mean-based variance minimization; first passage mean-optimality; state-action-dependent discount factors
Related Items
Finite horizon continuous-time Markov decision processes with mean and variance criteria, Mean-variance optimization of discrete time discounted Markov decision processes, Variance minimization of parameterized Markov decision processes, Risk-sensitive continuous-time Markov decision processes with unbounded rates and Borel spaces, Mean-semivariance optimality for continuous-time Markov decision processes, Continuous-time Markov decision processes under the risk-sensitive first passage discounted cost criterion
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Markov decision processes with applications to finance.
- Discounted continuous-time constrained Markov decision processes in Polish spaces
- Continuous-time Markov decision processes with state-dependent discount factors
- Continuous-time Markov decision processes. Theory and applications
- Markov decision processes with a new optimality criterion: Continuous time
- Continuous time Markov decision processes with discounted moment criterion
- A mean-variance optimization problem for discounted Markov decision processes
- Dynamic mean-variance portfolio selection with borrowing constraint
- Finite state continuous time Markov decision processes with an infinite planning horizon
- First Passage Optimality for Continuous-Time Markov Decision Processes With Varying Discount Factors and History-Dependent Policies
- Selected Topics on Continuous-Time Controlled Markov Chains and Markov Games
- Discounted Continuous-Time Markov Decision Processes with Unbounded Rates: The Convex Analytic Approach
- Discounted Continuous-Time Markov Decision Processes with Constraints: Unbounded Transition and Loss Rates
- Applying a New Device in the Optimization of Exponential Queuing Systems
- Reduction of Discounted Continuous-Time MDPs with Unbounded Jump and Reward Rates to Discrete-Time Total-Reward MDPs
- Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
- Continuous-Time Markov Decision Processes with Discounted Rewards: The Case of Polish Spaces
- Continuously Discounted Markov Decision Model with Countable State and Action Space
- Continuous Time Discounted Jump Markov Decision Processes: A Discrete-Event Approach
- Markov decision processes with distribution function criterion of first-passage time
- Nonstationary continuous-time Markov control processes with discounted costs on infinite horizon
