Finite horizon continuous-time Markov decision processes with mean and variance criteria

Huang, YH

Huang, YH (reprint author), Sun Yat Sen Univ, Sch Math, Guangzhou 510275, Guangdong, Peoples R China.

DISCRETE EVENT DYNAMIC SYSTEMS-THEORY AND APPLICATIONS, 2018; 28 (4): 539

Abstract

This paper studies mean maximization and variance minimization problems in finite horizon continuous-time Markov decision processes. The state and act......

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