Risk-sensitive average continuous-time Markov decision processes with unbounded transition and cost rates

DOI10.1017/jpr.2020.105zbMath1470.90152OpenAlexW3173360084MaRDI QIDQ4997204

Xin Guo, Yong-hui Huang

Publication date: 28 June 2021

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/jpr.2020.105

zbMATH Keywords

continuous-time Markov decision processfinite approximationoptimal policyrisk-sensitive average optimality equationunbounded transition and cost rate

Mathematics Subject Classification ID

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

Related Items (4)

Nonzero-sum risk-sensitive continuous-time stochastic games with ergodic costs ⋮ Certainty equivalent control of discrete time Markov processes with the average reward functional ⋮ Continuous-time Markov decision processes under the risk-sensitive first passage discounted cost criterion ⋮ Ergodic risk-sensitive control of Markov processes on countable state space revisited

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