Variance minimization and the overtaking optimality approach to continuous-time controlled Markov chains

DOI10.1007/s00186-008-0276-zzbMath1177.93101OpenAlexW2156049124MaRDI QIDQ1044212

Onésimo Hernández-Lerma, Tomás Prieto-Rumeau

Publication date: 11 December 2009

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-008-0276-z

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40)

Related Items (12)

Finite horizon continuous-time Markov decision processes with mean and variance criteria ⋮ Minimum Average Value-at-Risk for Finite Horizon Semi-Markov Decision Processes in Continuous Time ⋮ A mean-variance optimization problem for discounted Markov decision processes ⋮ Mean-variance problems for finite horizon semi-Markov decision processes ⋮ First Passage Optimality and Variance Minimisation of Markov Decision Processes with Varying Discount Factors ⋮ Bias and Overtaking Optimality for Continuous-Time Jump Markov Decision Processes in Polish Spaces ⋮ Optimal ergodic control of Markov diffusion processes with minimum variance ⋮ Asymptotic Normality of Discrete-Time Markov Control Processes ⋮ Variance minimization for continuous-time Markov decision processes: two approaches ⋮ A survey of recent results on continuous-time Markov decision processes (with comments and rejoinder) ⋮ Risk-sensitive control of continuous time Markov chains ⋮ Variance-minimization of Markov control processes with pathwise constraints

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