Risk-averse control of continuous-time Markov chains

DOI10.1137/1.9781611975024.11MaRDI QIDQ6567506zbMATH OpenFDO

Authors Darinka Dentcheva, Andrzej Ruszczyński

Publication date 5 July 2024

Full work available at URL https://doi.org/10.1137/1.9781611975024.11

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Risk models (general) (91B05) Stochastic systems in control theory (general) (93E03)

Recommendations

• Risk-sensitive control of continuous time Markov chains
• Time-coherent risk measures for continuous-time Markov chains
• Risk measurement and risk-averse control of partially observable discrete-time Markov systems
• Risk-averse control of undiscounted transient Markov models
• Risk-averse dynamic programming for Markov decision processes

Cited in

(1)

• Risk-Averse Optimal Control in Continuous Time by Nesting Risk Measures

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