A useful technique for piecewise deterministic Markov decision processes

This note presents a technique that is useful for the study of piecewise deterministic Markov decision processes (PDMDPs) with general policies and unbounded transition intensities. produces an auxiliary PDMDP from original one. The possesses certain desired properties, which may not be possessed by PDMDP. We apply this to risk-sensitive PDMDPs total cost criteria, comment on its connection uniformization technique.