Continuous-Time Markov Decision Processes with Exponential Utility

DOI10.1137/16M1086261zbMath1370.90288arXiv1610.02844WikidataQ115525630 ScholiaQ115525630MaRDI QIDQ5355194

Yi Zhang

Publication date: 7 September 2017

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

Full work available at URL: https://arxiv.org/abs/1610.02844

zbMATH Keywords

exponential utilitycontinuous-time Markov decision processesoptimality equationtotal undiscounted criteriarisk-sensitive criterion

Mathematics Subject Classification ID

Related Items (19)

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 ⋮ A consumption and investment problem via a Markov decision processes approach with random horizon ⋮ A useful technique for piecewise deterministic Markov decision processes ⋮ Risk-sensitive continuous-time Markov decision processes with unbounded rates and Borel spaces ⋮ Nonzero-sum risk-sensitive continuous-time stochastic games with ergodic costs ⋮ On risk-sensitive piecewise deterministic Markov decision processes ⋮ Continuous-time Markov decision processes under the risk-sensitive first passage discounted cost criterion ⋮ Unnamed Item ⋮ Maximizing the probability of visiting a set infinitely often for a countable state space Markov decision process ⋮ Finite horizon risk-sensitive continuous-time Markov decision processes with unbounded transition and cost rates ⋮ Integro-differential optimality equations for the risk-sensitive control of piecewise deterministic Markov processes ⋮ Risk-sensitive finite-horizon piecewise deterministic Markov decision processes ⋮ Risk-Sensitive Discounted Continuous-Time Markov Decision Processes with Unbounded Rates ⋮ 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 ⋮ On gradual-impulse control of continuous-time Markov decision processes with exponential utility ⋮ Continuous-time zero-sum games for Markov chains with risk-sensitive finite-horizon cost criterion

Cites Work

• Continuous-time Markov decision processes with risk-sensitive finite-horizon cost criterion
• Markov decision processes with applications to finance.
• On essential information in sequential decision processes
• A note on negative dynamic programming for risk-sensitive control
• Zero-sum ergodic semi-Markov games with weakly continuous transition probabilities
• Stochastic optimal control. The discrete time case
• On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance
• Piecewise deterministic Markov control processes with feedback controls and unbounded costs
• On solutions of Kolmogorov's equations for nonhomogeneous jump Markov processes
• Average optimality for risk-sensitive control with general state space
• Explosion phenomena in stochastic coagulation-fragmentation models
• Risk-sensitive control of continuous time Markov chains
• Controlled Markov Processes with Arbitrary Numerical Criteria
• Semi-Markov and Jump Markov Controlled Models: Average Cost Criterion
• Discounted MDP’s: Distribution Functions and Exponential Utility Maximization
• On Reducing a Jump Controllable Markov Model to a Model with Discrete Time
• Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
• A Utility Criterion for Markov Decision Processes
• Optimal stationary policies inrisk-sensitive dynamic programs with finite state spaceand nonnegative rewards
• Average Optimality in Markov Control Processes via Discounted-Cost Problems and Linear Programming
• Continuous Average Control of Piecewise Deterministic Markov Processes
• More Risk-Sensitive Markov Decision Processes
• A Convex Analytic Approach to Risk-Aware Markov Decision Processes
• Risk-Sensitive Markov Decision Processes
• Continuous Time Discounted Jump Markov Decision Processes: A Discrete-Event Approach
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Continuous-Time Markov Decision Processes with Exponential Utility