On risk-sensitive piecewise deterministic Markov decision processes

DOI10.1007/s00245-018-9485-xzbMath1467.90086arXiv1706.02570OpenAlexW2962749779MaRDI QIDQ2187326

Yi Zhang, Xin Guo

Publication date: 2 June 2020

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.02570

zbMATH Keywords

dynamic programmingexponential utilitycontinuous-time Markov decision processespiecewise deterministic Markov decision processes

Mathematics Subject Classification ID

Control/observation systems governed by partial differential equations (93C20) Markov and semi-Markov decision processes (90C40)

Related Items (10)

Risk-sensitive discounted cost criterion for continuous-time Markov decision processes on a general state space ⋮ Continuous-time zero-sum games for Markov decision processes with discounted risk-sensitive cost criterion ⋮ First passage risk probability minimization for piecewise deterministic Markov decision processes ⋮ A useful technique for piecewise deterministic Markov decision processes ⋮ Finite horizon risk-sensitive continuous-time Markov decision processes with unbounded transition and cost rates ⋮ Integro-differential optimality equations for the risk-sensitive control of piecewise deterministic Markov processes ⋮ Zero-sum games for pure jump processes with risk-sensitive discounted cost criteria ⋮ Risk-sensitive average continuous-time Markov decision processes with unbounded transition and cost rates ⋮ On gradual-impulse control of continuous-time Markov decision processes with exponential utility ⋮ Continuous-time zero-sum games for Markov chains with risk-sensitive finite-horizon cost criterion

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