Bäuerle, Nicole; Jaśkiewicz, Anna - In: Mathematical Methods of Operations Research 99 (2024) 1, pp. 141-178
The paper provides an overview of the theory and applications of risk-sensitive Markov decision processes. The term ’risk-sensitive’ refers here to the use of the Optimized Certainty Equivalent as a means to measure expectation and risk. This comprises the well-known entropic risk measure...