Risk-sensitive Semi-Markov Decision Problems with Discounted Cost and General Utilities

Abstract

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 optimization criteria. We consider random finite horizon and infinite horizon problems. Using a state augmentation technique we characterise the value functions and also prescribe optimal controls.

Zero and Non-zero Sum Risk-sensitive Semi-Markov Games

“…In [15], the authors study risk-sensitive control problem for semi-Markov processes on the finite horizon. Risk-sensitive infinite horizon discounted cost problem is considered in [5]. In [8], the authors consider the risk-sensitive average cost criterion for semi-Markov processes.…”