Risk-Sensitive Markov Control Processes
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Publication:2873849
DOI10.1137/120899005zbMath1287.60085arXiv1110.6317OpenAlexW2107431923MaRDI QIDQ2873849
Yun Shen, Klaus Obermayer, Wilhelm Stannat
Publication date: 27 January 2014
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1110.6317
stochastic dynamic programmingrisk measuresMarkov control processesmean semideviationoptimal risk sensitive control
Discrete-time Markov processes on general state spaces (60J05) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)
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