Continuous-Time Markov Decision Processes with Exponential Utility
Author:
Funder
European Commission
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
https://epubs.siam.org/doi/pdf/10.1137/16M1086261
Reference21 articles.
1. More Risk-Sensitive Markov Decision Processes
2. Optimal stationary policies inrisk-sensitive dynamic programs with finite state spaceand nonnegative rewards
3. Discounted MDP’s: Distribution Functions and Exponential Utility Maximization
4. Controlled Markov Processes with Arbitrary Numerical Criteria
5. Continuous Time Discounted Jump Markov Decision Processes: A Discrete-Event Approach
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