A note on a new class of recursive utilities in Markov decision processes

Volume 44 / 2017

Hubert Asienkiewicz, Anna Jaśkiewicz Applicationes Mathematicae 44 (2017), 149-161 MSC: Primary 90C40; Secondary 90C39, 91B70. DOI: 10.4064/am2317-1-2017 Published online: 24 May 2017

Abstract

This paper deals with Markov decision processes on a general state space under standard compactness-continuity assumptions. The purpose is to obtain a new class of so-called recursive utilities with the aid of the entropic risk measure. Within this framework we show that there exists a stationary policy for a discounted payoff problem in the infinite time horizon. Our result is illustrated by examples.

Authors

  • Hubert AsienkiewiczFaculty of Mathematics,
    Computer Science and Econometrics
    University of Zielona Góra
    Zielona Góra, Poland
    e-mail
  • Anna JaśkiewiczFaculty of Pure and Applied Mathematics
    Wrocław University of Science and Technology
    Wrocław, Poland
    e-mail

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