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math.OC2021
Zero and Non-zero Sum Risk-sensitive Semi-Markov Games
Arnab Bhabak, Subhamay Saha
In this article we consider zero and non-zero sum risk-sensitive average criterion games for semi-Markov processes with a finite state space. For the zero-sum case, under suitable…
math.OC2021
Risk-sensitive Semi-Markov Decision Problems with Discounted Cost and General Utilities
Arnab Bhabak, Subhamay Saha
In this article we consider risk-sensitive control of semi-Markov processes with a discrete state space. We consider general utility functions and discounted cost in the optimizati…