Guo, X 
ORCID: 0000-0002-6523-0339 and Zhang, Y ORCID: 0000-0002-3200-6306
(2020)
On Risk-Sensitive Piecewise Deterministic Markov Decision Processes
Applied Mathematics and Optimization, 81 (3).
pp. 685-710.
ISSN 0095-4616, 1432-0606
Abstract
We consider a piecewise deterministic Markov decision process, where the expected exponential utility of total (nonnegative) cost is to be minimized. The cost rate, transition rate and post-jump distributions are under control. The state space is Borel, and the transition and cost rates are locally integrable along the drift. Under natural conditions, we establish the optimality equation, justify the value iteration algorithm, and show the existence of a deterministic stationary optimal policy. Applied to special cases, the obtained results already significantly improve some existing results in the literature on finite horizon and infinite horizon discounted risk-sensitive continuous-time Markov decision processes.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Continuous-time Markov decision processes, Piecewise deterministic Markov decision processes, Exponential utility, Dynamic programming |
| Depositing User: | Symplectic Admin |
| Date Deposited: | 23 Mar 2018 11:50 |
| Last Modified: | 24 Jan 2026 01:37 |
| DOI: | 10.1007/s00245-018-9485-x |
| Open Access URL: | https://link.springer.com/article/10.1007/s00245-0... |
| Related Websites: | |
| URI: | https://livrepository.liverpool.ac.uk/id/eprint/3019382 |
| Disclaimer: | The University of Liverpool is not responsible for content contained on other websites from links within repository metadata. Please contact us if you notice anything that appears incorrect or inappropriate. |
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