# Risk-sensitive discounted cost criterion for Continuous-time Markov decision processes on a general state space

arXiv: https://arxiv.org/abs/2104.12366 · HTML: https://mlsanity.com/paper/2104.12366/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 26 Apr 2021.

## Built on by (most cited first, 1 of 1)

- [Optimizing Predictive Maintenance in Intelligent Manufacturing: An Integrated FNO-DAE-GNN-PPO MDP Framework](https://mlsanity.com/paper/2511.05594/) (2025)

## Abstract (arXiv)

In this paper, we consider risk-sensitive discounted control problem for continuous-time jump Markov processes taking values in general state space. The transition rates of underlying continuous-time jump Markov processes and the cost rates are allowed to be unbounded. Under certain Lyapunov condition, we establish the existence and uniqueness of the solution to the Hamilton-Jacobi-Bellman (HJB) equation. Also we prove the existence of optimal risk-sensitive control in the class of Markov control.