A Utility Criterion for Markov Decision Processes
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- Rolando Cavazos-Cadena, 2010. "Optimality equations and inequalities in a class of risk-sensitive average cost Markov decision chains," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(1), pages 47-84, February.
- Monahan, George E. & Sobel, Matthew J., 1997. "Risk-Sensitive Dynamic Market Share Attraction Games," Games and Economic Behavior, Elsevier, vol. 20(2), pages 149-160, August.
- Takayuki Osogami, 2012. "Iterated risk measures for risk-sensitive Markov decision processes with discounted cost," Papers 1202.3755, arXiv.org.
- Rolando Cavazos-Cadena, 2009. "Solutions of the average cost optimality equation for finite Markov decision chains: risk-sensitive and risk-neutral criteria," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(3), pages 541-566, December.
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- repec:spr:compst:v:70:y:2009:i:3:p:541-566 is not listed on IDEAS
- repec:spr:compst:v:71:y:2010:i:3:p:401-425 is not listed on IDEAS
- Krishnamurthy Iyer & Nandyala Hemachandra, 2010. "Sensitivity analysis and optimal ultimately stationary deterministic policies in some constrained discounted cost models," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(3), pages 401-425, June.
- Karel Sladký, 2013. "Risk-Sensitive and Mean Variance Optimality in Markov Decision Processes," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 7(3), pages 146-161, November.
- Bäuerle, Nicole & Jaśkiewicz, Anna, 2015. "Risk-sensitive dividend problems," European Journal of Operational Research, Elsevier, vol. 242(1), pages 161-171.
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