Markov decision processes under risk sensitivity: a discount vanishing approach

DOI10.1016/j.jmaa.2023.128026OpenAlexW4389670436MaRDI QIDQ6146387

Publication date: 5 February 2024

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2023.128026

zbMATH Keywords

optimal control Markov decision process risk-sensitive average reward vanishing discount approximation

Mathematics Subject Classification ID

Sensitivity, stability, well-posedness (49K40) Markov and semi-Markov decision processes (90C40) Optimality conditions for problems involving randomness (49K45)

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