Risk Sensitive Markov Decision Processes

This paper summarizes some contributions to the first of these objectives. For linear systems and exponential of the sum of quadratic costs, the problem has been studied by [26] in the fully observed setting. Extensions to the partially observed setting are due to [3] and [34]. A somewhat surprising result is that the conditional distribution of the state given past observations does not constitute an information state. The equivalence, in the large risk limit, to a differential game arising in