Central Moments and Risk-Sensitive Optimality in Markov Reward Processes

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F21%3A00583660" target="_blank" >RIV/67985556:_____/21:00583660 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Central Moments and Risk-Sensitive Optimality in Markov Reward Processes
Original language description
In this note we consider discrete- and continuous-time Markov decision processes with finite state space. There is no doubt that usual optimality criteria examined in the literature on optimization of Markov reward processes, e.g. total discounted or mean reward, may be quite insufficient to select more sophisticated criteria that reflect also the variability-risk features of the problem. In this note we focus on models where the stream of rewards generated by the Markov process 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 non-zero, 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 it higher moments are taken into account. Using Taylor expansion of the utility function we present explicit formulas for calculating variance a higher central moments of the total reward generated by the |Markov reward process along with its asymptotic behaviour.
Czech name
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Czech description
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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
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
MME 2021, 39th International Conference on Mathematical Methods in Economics. Conference Proceedings
ISBN
978-80-213-3126-6
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
446-451
Publisher name
Faculty of Economics and Management, Czech University of Life Sciences Prague
Place of publication
Prague
Event location
Prague
Event date
Sep 8, 2021
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000936369700074

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