Continuous-time Markov decision processes under the risk-sensitive first passage discounted cost criterion

DOI10.1007/s10957-023-02179-3OpenAlexW4323306668MaRDI QIDQ2697007

Xian Chen, Qingda Wei

Publication date: 17 April 2023

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-023-02179-3

zbMATH Keywords

optimal policiesvalue iterationcontinuous-time Markov decision processesrisk-sensitive first passage discounted cost criterion

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40) Continuous-time Markov processes on discrete state spaces (60J27)

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