A note on a new class of recursive utilities in Markov decision processes

Abstract

. This paper deals with Markov decision processes on a general state space under standard compactness-continuity assumptions. The pur-pose is to obtain a new class of so-called recursive utilities with the aid of the entropic risk measure. Within this framework we show that there exists a stationary policy for a discounted payoff problem in the infinite time horizon. Our result is illustrated by examples.