Characterization of the optimal average cost in Markov decision chains driven by a risk-seeking controller

DOI10.1017/jpr.2023.40OpenAlexW4385065077MaRDI QIDQ6198981

Hugo Cruz-Suárez, Rolando Cavazos-Cadena, Raúl Montes-De-oca

Publication date: 23 February 2024

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/jpr.2023.40

zbMATH Keywords

exponential utilityoptimality inequalityoptional sampling theoremtruncated cost functionextended Collatz-Wielandt formularisk-Lover controller

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40)

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