The discounted method and equivalence of average criteria for risk-sensitive Markov decision processes on Borel spaces

DOI10.1007/s00245-009-9080-2zbMath1196.60127OpenAlexW2004904423MaRDI QIDQ964743

Rolando Cavazos-Cadena, Francisco Sergio Salem-Silva

Publication date: 20 April 2010

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-009-9080-2

zbMATH Keywords

Hölder's inequalityweak continuitycontractive operatorsgeneralized Fatou's lemmarisk-sensitive discount approach

Mathematics Subject Classification ID

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

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