A Poisson equation for the risk-sensitive average cost in semi-Markov chains

DOI10.1007/S10626-015-0224-ZzbMath1357.93089OpenAlexW2239839192MaRDI QIDQ513817

Rolando Cavazos-Cadena

Publication date: 8 March 2017

Published in: Discrete Event Dynamic Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10626-015-0224-z

zbMATH Keywords

stopping timeexponential utilitycommunicating underlying chainnon-linear certainty-equivalent

Mathematics Subject Classification ID

Nonlinear systems in control theory (93C10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stochastic systems in control theory (general) (93E03)

Related Items (3)

Controlled semi-Markov chains with risk-sensitive average cost criterion ⋮ Average criteria in denumerable semi-Markov decision chains under risk-aversion ⋮ Contractive approximations in risk-sensitive average semi-Markov decision chains on a finite state space

Uses Software

• MCQueue

Cites Work

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