Continuous-time Markov decision processes with risk-sensitive finite-horizon cost criterion
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Mathematics,Software
Link
http://link.springer.com/content/pdf/10.1007/s00186-016-0550-4.pdf
Reference18 articles.
1. Cavazos-Cadena R, Hernández-Hernández D (2011) Discounted approximations for risk-sensitive average criteria in Markov decision chains with finite state space. Math Oper Res 36:133–146
2. Confortola F, Fuhrman M (2014) Backward stochastic differential equations associated to jump Markov processes and applications. Stoch Process Appl 124:289–316
3. Di Masi GB, Stettner L (2007) Infinite horizon risk sensitive control of discrete time Markov processes under minorization property. SIAM J Control Optim 46:231–252
4. Ghosh MK, Saha S (2014) Risk-sensitive control of continuous time Markov chains. Stochastics 86:655–675
5. Guo XP, Hernández-Lerma O (2009) Continuous-time Markov decision processes: theory and applications. Springer, Berlin
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