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math.OC2021
Zero-Sum Games for Continuous-time Markov Decision Processes with Risk-Sensitive Average Cost Criterion
Mrinal K. Ghosh, Subrata Golui, Chandan Pal +1
We consider zero-sum stochastic games for continuous time Markov decision processes with risk-sensitive average cost criterion. Here the transition and cost rates may be unbounded.…
math.OC2021★ 6 cited
Nonzero-sum risk-sensitive continuous-time stochastic games with ergodic costs
Mrinal K Ghosh, Subrata Golui, Chandan Pal +1
We study nonzero-sum stochastic games for continuous time Markov decision processes on a denumerable state space with risk-sensitive ergodic cost criterion. Transition rates and co…
math.OC2021
Risk-sensitive discounted cost criterion for Continuous-time Markov decision processes on a general state space
Chandan Pal, Subrata Golui
In this paper, we consider risk-sensitive discounted control problem for continuous-time jump Markov processes taking values in general state space. The transition rates of underly…