A UTILITY DEVIATION IN DISCOUNTED MARKOV DECISION PROCESSES WITH GENERAL UTILITY
Yoshinobu Kadota, Masami Kurano, Masami Yasuda · Bulletin of informatics and cybernetics · 1996
A utility treatment is studied in the framework of discounted Markov decision processes. We will define a new index called a utility deviation related to the risk premium, which is characterized by an iterative formula. Examples are given in the quadratic case and the exponential utility case.