Markov decision processes (MDPs) and stochastic control constitute pivotal frameworks for modelling decision-making in systems subject to uncertainty.

Xianping Guo, Alexei Piunovskiy, Discounted Continuous-Time Markov Decision Processes with Constraints: Unbounded Transition and Loss Rates, Mathematics of Operations Research, Vol. 36, No. 1 ...

We investigate the problem of minimizing a certainty equivalent of the total or discounted cost over a finite and an infinite horizon that is generated by a Markov decision process (MDP). In contrast ...