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

被引：12

作者：

Guo, Xin ^{[1
]}

Liu, Qiuli ^{[2
]}

Zhang, Yi ^{[1
]}

机构：

[1] Univ Liverpool, Dept Math Sci, Liverpool L69 7ZL, Merseyside, England

[2] South China Normal Univ, Sch Math Sci, Guangzhou 510631, Guangdong, Peoples R China

来源：

4OR-A QUARTERLY JOURNAL OF OPERATIONS RESEARCH | 2019年 / 17卷 / 04期

关键词：

Continuous-time Markov decision processes; Risk-sensitive criterion; Optimality equation;

D O I：

10.1007/s10288-019-0398-6

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

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.

引用

页码：427 / 442

页数：16

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