Risk-sensitive average continuous-time Markov decision processes with unbounded rates
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Publication:4631821
DOI10.1080/02331934.2018.1547382zbMath1411.93199OpenAlexW2901140762MaRDI QIDQ4631821
Publication date: 23 April 2019
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331934.2018.1547382
optimal policycontinuous-time Markov decision processesrisk-sensitive average cost criterionrisk-sensitive average optimality inequalityunbounded cost and transition rates
Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40) Optimality conditions for problems involving randomness (49K45)
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Risk-sensitive semi-Markov decision problems with discounted cost and general utilities, Discrete-time zero-sum games for Markov chains with risk-sensitive average cost criterion, Continuous-time Markov decision processes under the risk-sensitive first passage discounted cost criterion, Risk-sensitive average continuous-time Markov decision processes with unbounded transition and cost rates
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