A note on a new class of recursive utilities in Markov decision processes

DOI10.4064/AM2317-1-2017zbMath1386.90165OpenAlexW2620502305MaRDI QIDQ4595453

Anna Jaśkiewicz, Hubert Asienkiewicz

Publication date: 30 November 2017

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/am2317-1-2017

zbMATH Keywords

dynamic programmingcertainty equivalentoptimal policyentropic risk measureBorel space

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40)

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