Discounted approximations to the risk-sensitive average cost in finite Markov chains

DOI10.1016/j.jmaa.2017.01.084zbMath1382.60094OpenAlexW2585760530MaRDI QIDQ2408779

Rolando Cavazos-Cadena, Daniel Cruz-Suárez

Publication date: 13 October 2017

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2017.01.084

zbMATH Keywords

certainty equivalentconvex functionHölder inequalityexponential utilityvanishing discount method

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Related Items (4)

Discounted approximations in risk-sensitive average Markov cost chains with finite state space ⋮ Markov decision processes under risk sensitivity: a discount vanishing approach ⋮ The Vanishing Discount Approach in a class of Zero-Sum Finite Games with Risk-Sensitive Average Criterion ⋮ Vanishing discount approximations in controlled Markov chains with risk-sensitive average criterion

Uses Software

• MCQueue

Cites Work

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