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~subject:"Risk aversion"
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Risk aversion
Markov chain
11
Markov-Kette
11
Theorie
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Theory
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Constant average cost
6
Utility function
5
Markov decision processes
4
Schweitzer's Transformation
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Nutzenfunktion
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AMS Classification: 90C40
2
AMS Subject Classification: 93E20
2
AMS Subject Classifications. Primary
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AMS Subject Classifications: Primary
2
Adaptive optimal policy
2
Arrival time
2
Closed set
2
Consistent estimation
2
Constant risk sensitivity
2
Constant risk-sensitivity
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Contractive Operator
2
Controlled Markov chains
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Convergence of the value iteration approximations
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Discounted dynamic programming operator
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Discrepancy function.
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Exponential utility
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First arrival time
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Key words: Contractive operator
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Key words: Exponential utility function
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Key words: Successive approximations
2
Multiplicative optimality equation
2
Non stationary value iteration
2
Optimality Equation
2
Ornstein's theorem
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Pause Control
2
Relative value function
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Risikoaversion
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Cavazos-Cadena, Rolando
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Hernández-Hernández, Daniel
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Mathematical methods of operations research
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Mathematics of operations research
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ECONIS (ZBW)
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Characterization of the optimal risk-sensitive average cost in denumerable Markov decision chains
Cavazos-Cadena, Rolando
- In:
Mathematics of operations research
43
(
2018
)
3
,
pp. 1025-1050
Persistent link: https://www.econbiz.de/10011914392
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2
Solution to the risk-sensitive average optimality equation in communicating Markov decision chains with finite state space : an alternative approach
Cavazos-Cadena, Rolando
;
Hernández-Hernández, Daniel
- In:
Mathematical methods of operations research
56
(
2002
)
3
,
pp. 473-479
Persistent link: https://www.econbiz.de/10001725939
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