Risk-sensitivity vanishing limit for controlled Markov processes

DOI10.1007/S10883-023-09641-5MaRDI QIDQ6186677zbMATH OpenOpenAlexFDO

Authors Yanan Dai, Jinwen Chen

Publication date 9 January 2024

Published in Journal of Dynamical and Control Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10883-023-09641-5

zbMATH Keywords

Markov decision processespartially observable Markov decision processvariational formulaKreĭn-Rutman theoremrisk-sensitive reward

Mathematics Subject Classification ID

Stochastic systems and control (93E99) Limit theorems in probability theory (60F99) Markov and semi-Markov decision processes (90C40) Nonlinear spectral theory, nonlinear eigenvalue problems (47J10)

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Cited in

(2)

• A discount vanishing approximation for Markov decision processes with risk sensitivity
• Markov decision processes under risk sensitivity: a discount vanishing approach

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