The risk probability criterion for discounted continuous-time Markov decision processes

DOI10.1007/s10626-017-0257-6zbMath1386.93308OpenAlexW2742269560MaRDI QIDQ1686855

Xianping Guo, Hai-Feng Huo, XiaoLong Zou

Publication date: 18 December 2017

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

Full work available at URL: https://doi.org/10.1007/s10626-017-0257-6

zbMATH Keywords

value iterationoptimal policycontinuous-time Markov decision processesoptimality equationrisk probability criterion

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40)

Related Items

First passage risk probability minimization for piecewise deterministic Markov decision processes, Zero-sum semi-Markov games with a probability criterion, Risk-sensitive continuous-time Markov decision processes with unbounded rates and Borel spaces, Optimal dividend problems with a risk probability criterion, Mean-variance optimization of discrete time discounted Markov decision processes, On a discrete Markov-modulated risk model with random premium income and delayed claims, Unnamed Item, First Passage Exponential Optimality Problem for Semi-Markov Decision Processes, Variance minimization of parameterized Markov decision processes, Continuous-time zero-sum games with probability criterion, First passage risk probability optimality for continuous time Markov decision processes, Nonzero-sum stochastic games with probability criteria

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