Risk filtering and risk-averse control of Markovian systems subject to model uncertainty

DOI10.1007/s00186-023-00834-zarXiv2206.09235MaRDI QIDQ6080762

Tomasz R. Bielecki, Ruszczyński, Andrzej, Igor Cialenco

Publication date: 25 October 2023

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2206.09235

zbMATH Keywords

dynamic programmingMarkov decision processesmodel uncertaintydynamic measures of risk

Mathematics Subject Classification ID

Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40)

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