Finite horizon continuous-time Markov decision processes with mean and variance criteria

DOI10.1007/S10626-018-0273-1zbMath1407.90204OpenAlexW2893115708WikidataQ129153048 ScholiaQ129153048MaRDI QIDQ1628790

Yong-hui Huang

Publication date: 10 December 2018

Published in: Discrete Event Dynamic Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10626-018-0273-1

zbMATH Keywords

Markov decision processesHJB equationcontinuous timeoptimal policyfinite horizon optimality

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Management decision making, including multiple objectives (90B50)

Related Items (1)

Risk-sensitive continuous-time Markov decision processes with unbounded rates and Borel spaces

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