Risk-sensitive discounted Markov decision processes with unbounded reward functions and Borel spaces

DOI10.1080/17442508.2024.2314462MaRDI QIDQ6550283zbMATH OpenFDO

Authors Xin Guo

Publication date 5 June 2024

Published in Stochastics (Search for Journal in Brave)

Mathematics Subject Classification ID

Decision theory (91B06) Discrete-time Markov processes on general state spaces (60J05) Inventory, storage, reservoirs (90B05) Markov and semi-Markov decision processes (90C40)

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Cites work

• scientific article; zbMATH DE number 1325008 (Why is no real title available?)
• A Utility Criterion for Markov Decision Processes
• Average optimality for risk-sensitive control with general state space
• Continuous-time Markov decision processes with exponential utility
• Continuous-time Markov decision processes with risk-sensitive finite-horizon cost criterion
• Finite horizon risk-sensitive continuous-time Markov decision processes with unbounded transition and cost rates
• Infinite Horizon Risk Sensitive Control of Discrete Time Markov Processes under Minorization Property
• Measurable Selection Theorems for Minimax Stochastic Optimization Problems
• More risk-sensitive Markov decision processes
• Partially Observable Risk-Sensitive Markov Decision Processes
• Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
• Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon
• Risk-Sensitive Optimal Control for Markov Decision Processes with Monotone Cost
• Risk-sensitive control of continuous time Markov chains
• Risk-sensitive control of pure jump process on countable space with near monotone cost
• Risk-sensitive discounted continuous-time Markov decision processes with unbounded rates
• Risk-sensitive dividend problems

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