Risk-Sensitive Markov Control Processes

@article{Shen2013RiskSensitiveMC,
  title={Risk-Sensitive Markov Control Processes},
  author={Yun Shen and Wilhelm Stannat and Klaus Obermayer},
  journal={SIAM J. Control. Optim.},
  year={2013},
  volume={51},
  pages={3652-3672}
}
We introduce a general framework for measuring risk in the context of Markov control processes with risk maps on general Borel spaces that generalize known concepts of risk measures in mathematical finance, operations research, and behavioral economics. Within the framework, applying weighted norm spaces to incorporate unbounded costs also, we study two types of infinite-horizon risk-sensitive criteria, discounted total risk and average risk, and solve the associated optimization problems by… 

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