Vanishing discount approximations in controlled Markov chains with risk-sensitive average criterion
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Publication:5214999
DOI10.1017/apr.2018.10zbMath1430.93217OpenAlexW2791818115WikidataQ130089718 ScholiaQ130089718MaRDI QIDQ5214999
Daniel Hernández-Hernández, Rolando Cavazos-Cadena
Publication date: 5 February 2020
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/apr.2018.10
Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40)
Related Items (5)
Markov decision processes under risk sensitivity: a discount vanishing approach ⋮ Discrete‐time risk sensitive portfolio optimization with proportional transaction costs ⋮ Risk-Sensitive LQG Discounted Control Problems and Their Asymptotic Behavior ⋮ The Vanishing Discount Approach in a class of Zero-Sum Finite Games with Risk-Sensitive Average Criterion ⋮ Long-run risk sensitive dyadic impulse control
Uses Software
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