Threshold probability of non-terminal type in finite horizon Markov decision processes

DOI10.1016/j.jmaa.2011.08.006zbMath1231.90372OpenAlexW2008129990MaRDI QIDQ640993

Takayuki Ueno, Akifumi Kira, Toshiharu Fujita

Publication date: 21 October 2011

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.2011.08.006

zbMATH Keywords

dynamic programmingMarkov decision processliquidity risknonnegative-valued multiplicative criterionthreshold probability

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Markov and semi-Markov decision processes (90C40)

Related Items (3)

Zero-sum semi-Markov games with a probability criterion ⋮ Continuous-time zero-sum games with probability criterion ⋮ Nonzero-sum stochastic games with probability criteria

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