Risk-Sensitive Discounted Continuous-Time Markov Decision Processes with Unbounded Rates

DOI10.1137/18M1222016zbMath1432.90157WikidataQ126661960 ScholiaQ126661960MaRDI QIDQ4972759

Xianping Guo, Zhong Wei Liao

Publication date: 27 November 2019

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

continuous-time Markov decision processoptimality equationFoster-Lyapunov and logarithm growth conditionsrisk-sensitive discounted optimalityunbounded transition and cost rates

Mathematics Subject Classification ID

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

Related Items (13)

Continuous-time zero-sum games for markov decision processes with discounted risk-sensitive cost criterion on a general state space ⋮ Risk-sensitive discounted cost criterion for continuous-time Markov decision processes on a general state space ⋮ Continuous-time zero-sum games for Markov decision processes with discounted risk-sensitive cost criterion ⋮ Zero-sum semi-Markov games with a probability criterion ⋮ Risk-sensitive semi-Markov decision problems with discounted cost and general utilities ⋮ Nonzero-sum risk-sensitive continuous-time stochastic games with ergodic costs ⋮ 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 ⋮ Unnamed Item ⋮ Zero-sum games for pure jump processes with risk-sensitive discounted cost criteria ⋮ Risk-sensitive average continuous-time Markov decision processes with unbounded transition and cost rates ⋮ Ergodic risk-sensitive control of Markov processes on countable state space revisited ⋮ Continuous-time zero-sum games for Markov chains with risk-sensitive finite-horizon cost criterion

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