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

Xin Guo; Qiuli Liu; Yi Zhang

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arXiv · 1803.09580

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

Xin Guo·Qiuli Liu·Yi Zhang

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Abstract

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.

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BibTeX RIS

Xin Guo, Qiuli Liu, Yi Zhang. 2018-03-26. Finite horizon risk-sensitive continuous-time Markov decision processes with unbounded transition and cost rates. https://arxiv.org/abs/1803.09580

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