6 papers
A useful technique for piecewise deterministic Markov decision processes
Xin Guo, Yi Zhang
This paper presents with justifications a technique that is useful for the study of piecewise deterministic Markov decision processes (PDMDPs) with general policies and unbounded t…
On gradual-impulse control of continuous-time Markov decision processes with exponential utility
Xin Guo, Aiko Kurushima, Alexey Piunovskiy +1
In this paper, we consider the gradual-impulse control problem of continuous-time Markov decision processes, where the system performance is measured by the expectation of the expo…
Finite horizon risk-sensitive continuous-time Markov decision processes with unbounded transition and cost rates
Xin Guo, Qiuli Liu, Yi Zhang
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,…
On risk-sensitive piecewise deterministic Markov decision processes
Xin Guo, Yi Zhang
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…
Note on discounted continuous-time Markov decision processes with a lower bounding function
Xin Guo, Alexey Piunovskiy, Yi Zhang
In this paper, we consider the discounted continuous-time Markov decision process (CTMDP) with a lower bounding function. In this model, the negative part of each cost rate is boun…
Zero-sum continuous-time Markov pure jump game over a fixed duration
Xin Guo, Yi Zhang
This paper considers a two-person zero-sum continuous-time Markov pure jump game in Borel state and action spaces over a fixed finite horizon. The main assumption on the model is t…