Çavuş, Ö.Ruszczyński, A.2016-02-082016-02-0820140363-0129http://hdl.handle.net/11693/26570We use Markov risk measures to formulate a risk-averse version of the undiscounted total cost problem for a transient controlled Markov process. Using the new concept of a multikernel, we derive conditions for a system to be risk transient, that is, to have finite risk over an infinite time horizon. We derive risk-averse dynamic programming equations satisfied by the optimal policy and we describe methods for solving these equations. We illustrate the results on an optimal stopping problem and an organ transplantation problem.EnglishDynamic risk measuresMarkov risk measuresMultikernelsOptimal stoppingRandomized policyStochastic shortest pathDynamic programmingMarkov processesRisk analysisStochastic systemsDynamic risk measureMultikernelsOptimal stoppingRandomized policiesRisk measuresStochastic shortest pathsRisk assessmentArticle10.1137/13093902X1095-7138