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math.OC2018
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…
math.OC2018
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,…