Jaśkiewicz, Anna; Matkowski, Janusz; Nowak, Andrzej S. - Volkswirtschaftliche Fakultät, … - 2011
In this paper we study a Markov decision process with a non-linear discount function. Our approach is in spirit of the von Neumann-Morgenstern concept and is based on the notion of expectation. First, we define a utility on the space of trajectories of the process in the finite and infinite time...