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ON GRADUAL-IMPULSE CONTROL OF CONTINUOUS-TIME MARKOV DECISION PROCESSES WITH EXPONENTIAL UTILITY

Guo, X; Kurushima, A; Piunovskiy, A; Zhang, Y

Guo, X (corresponding author), Tsinghua Univ, Sch Econ & Management, Beijing 100084, Peoples R China.

ADVANCES IN APPLIED PROBABILITY, 2021; 53 (2): 301

Abstract

We consider a gradual-impulse control problem of continuous-time Markov decision processes, where the system performance is measured by the expectatio......

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