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A note on a new class of recursive utilities in Markov decision processes
Hubert Asienkiewicz 1   ; Anna Jaśkiewicz 2
1 Faculty of Mathematics, Computer Science and Econometrics University of Zielona Góra Zielona Góra, Poland
2 Faculty of Pure and Applied Mathematics Wrocław University of Science and Technology Wrocław, Poland
Applicationes Mathematicae, Tome 44 (2017) no. 2, pp. 149-161 Cet article a éte moissonné depuis la source Institute of Mathematics Polish Academy of Sciences

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This paper deals with Markov decision processes on a general state space under standard compactness-continuity assumptions. The purpose is to obtain a new class of so-called recursive utilities with the aid of the entropic risk measure. Within this framework we show that there exists a stationary policy for a discounted payoff problem in the infinite time horizon. Our result is illustrated by examples.
DOI : 10.4064/am2317-1-2017
Keywords: paper deals markov decision processes general state space under standard compactness continuity assumptions purpose obtain class so called recursive utilities aid entropic risk measure within framework there exists stationary policy discounted payoff problem infinite time horizon result illustrated examples

Hubert Asienkiewicz  1   ; Anna Jaśkiewicz  2

1 Faculty of Mathematics, Computer Science and Econometrics University of Zielona Góra Zielona Góra, Poland
2 Faculty of Pure and Applied Mathematics Wrocław University of Science and Technology Wrocław, Poland 
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Hubert Asienkiewicz; Anna Jaśkiewicz. A note on a new class of recursive utilities in Markov decision processes. Applicationes Mathematicae, Tome 44 (2017) no. 2, pp. 149-161. doi: 10.4064/am2317-1-2017

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