Risk sensitive control of pure jump processes on a general state space
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Publication:5086421
DOI10.1080/17442508.2018.1521413zbMath1492.93204OpenAlexW2889684222MaRDI QIDQ5086421
Publication date: 5 July 2022
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2018.1521413
Hamilton-Jacobi-Bellman equationMarkov decision processesrisk sensitive controlpure jump processstationary Markov controlsmall cost
Related Items (7)
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 ⋮ 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 ⋮ Risk-sensitive zero-sum stochastic differential game for jump-diffusions ⋮ Zero-sum games for pure jump processes with risk-sensitive discounted cost criteria
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