Threshold probability of non-terminal type in finite horizon Markov decision processes

DOI10.1016/J.JMAA.2011.08.006zbMATH Open1231.90372OpenAlexW2008129990MaRDI QIDQ640993FDOQ640993

Takayuki Ueno, Akifumi Kira, Toshiharu Fujita

Publication date: 21 October 2011

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2011.08.006

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zbMATH Keywords

dynamic programmingMarkov decision processliquidity risknonnegative-valued multiplicative criterionthreshold probability

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Markov and semi-Markov decision processes (90C40)

Cites Work

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• On bidecision processes
• Optimal threshold probability in undiscounted Markov decision processes with a target set.
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• Minimising a threshold probability in discounted Markov decision processes
• STOCHASTIC OPTIMIZATION OF MULTIPLICATIVE FUNCTIONS WITH NEGATIVE VALUE
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Cited In (6)

• Continuous-time zero-sum games with probability criterion
• Target-level criterion in Markov decision processes
• Nonzero-sum stochastic games with probability criteria
• Zero-sum semi-Markov games with a probability criterion
• Optimal threshold probability in undiscounted Markov decision processes with a target set.
• Title not available (Why is that?)

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