Stopped decision processes in conjunction with general utility

DOI10.1080/02522667.2001.10699489zbMath0983.90072OpenAlexW2330505467MaRDI QIDQ2766113

Masami Kurano, Yoshinobu Kadota, Masami Yasuda

Publication date: 27 January 2002

Published in: Journal of Information and Optimization Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02522667.2001.10699489

zbMATH Keywords

stopping timeMarkov decision processpiecewise deterministic Markov processesexponential utility functionsoptimal pairstopping problemBandit problems

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Markov and semi-Markov decision processes (90C40)

Related Items (1)

Risk-sensitive stopping problems for continuous-time Markov chains

Cites Work

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• On the General Utility of Discounted Markov Decision Processes
• The variance of discounted Markov decision processes
• Risk Aversion in the Small and in the Large
• Risk-Sensitive Markov Decision Processes

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