2 papers
math.OC2016
Continuous-time Markov decision processes with exponential utility
Yi Zhang
In this paper, we consider a continuous-time Markov decision process (CTMDP) in Borel spaces, where the certainty equivalent with respect to the exponential utility of the total un…
math.OC2014
Average optimality for continuous-time Markov decision processes under weak continuity conditions
Yi Zhang
This article considers the average optimality for a continuous-time Markov decision process with Borel state and action spaces and an arbitrarily unbounded nonnegative cost rate. T…