Central Moments and Risk-Sensitive Optimality in Continuous-Time Markov Reward Processes

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F20%3A00536251" target="_blank" >RIV/67985556:_____/20:00536251 - isvavai.cz</a>
Result on the web
—
DOI - Digital Object Identifier
—

Result language
angličtina
Original language name
Central Moments and Risk-Sensitive Optimality in Continuous-Time Markov Reward Processes
Original language description
In this note we consider continuous-time Markov decision processes with finite state space where the stream of rewards generated by the Markov processes is evaluated by an exponential utility function with a given risk sensitivity coefficient (so-called risk-sensitive models). For the risk-sensitive case, i.e. if the considered risk-sensitivity coefficient is nonzero, we establish explicit formulas for growth rate of expectation of the exponential utility function. Recall that in this case along with the total reward also its higher moments are taken into account. Using Taylor expansion of the utility function we present explicit formulae for calculating variance and higher central moments of the total reward generated by the Markov reward process along with its asymptotic behavior.
Czech name
—
Czech description
—

Project
<a href="/en/project/GA18-02739S" target="_blank" >GA18-02739S: Stochastic Optimization in Economic Processes</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Similar results(10)