Finite horizon risk-sensitive continuous-time Markov decision processes with unbounded transition and cost rates

Guo, X ORCID: 0000-0002-6523-0339, Liu, Q and Zhang, Y ORCID: 0000-0002-3200-6306 (2019) Finite horizon risk-sensitive continuous-time Markov decision processes with unbounded transition and cost rates. 4OR, 17 (4). pp. 427-442.

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Official URL: http://dx.doi.org/10.1007/s10288-019-0398-6

Abstract

© 2019, Springer-Verlag GmbH Germany, part of Springer Nature. We consider a risk-sensitive continuous-time Markov decision process over a finite time duration. Under the conditions that can be satisfied by unbounded transition and cost rates, we show the existence of an optimal policy, and the existence and uniqueness of the solution to the optimality equation out of a class of possibly unbounded functions, to which the Feynman–Kac formula was also justified to hold.

Item Type:	Article
Uncontrolled Keywords:	Continuous-time Markov decision processes, Risk-sensitive criterion, Optimality equation
Depositing User:	Symplectic Admin
Date Deposited:	10 Jun 2019 13:37
Last Modified:	19 Jan 2023 00:40
DOI:	10.1007/s10288-019-0398-6
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3044887