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The stochastic shortest-path problem for Markov chains with infinite state space with applications to nearest-neighbor lattice chains JOURNAL ARTICLE published April 2013 in Mathematical Methods of Operations Research |
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A Remark on Impulse Control Problems with Risk-sensitive Criteria PROCEEDINGS ARTICLE published April 2007 in Stochastic Processes and Applications to Mathematical Finance |
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Markov decision processes with risk-sensitive criteria: an overview JOURNAL ARTICLE published April 2024 in Mathematical Methods of Operations Research |
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Continuous-time Markov decision processes with risk-sensitive finite-horizon cost criterion JOURNAL ARTICLE published December 2016 in Mathematical Methods of Operations Research |
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Optimal policy for minimizing risk models in Markov decision processes JOURNAL ARTICLE published July 2002 in Journal of Mathematical Analysis and Applications |
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Average control of Markov decision processes with Feller transition probabilities and general action spaces JOURNAL ARTICLE published December 2012 in Journal of Mathematical Analysis and Applications Research funded by CNPq (301067/09-0) |
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Constrained Markov decision processes in Borel spaces: from discounted to average optimality JOURNAL ARTICLE published December 2016 in Mathematical Methods of Operations Research Research funded by Consejo Nacional de Ciencia y Tecnología (238045) |
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Risk-sensitive discounted cost criterion for continuous-time Markov decision processes on a general state space JOURNAL ARTICLE published April 2022 in Mathematical Methods of Operations Research |
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Markov Chains with Random Transition Probabilities BOOK CHAPTER published 2002 in Applied Mathematical Sciences |
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Examination of Sturm-Liouville problem with proportional derivative in control theory JOURNAL ARTICLE published 30 December 2023 in Mathematical Modelling and Numerical Simulation with Applications |
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Optimal Investment Models and Risk Sensitive Stochastic Control BOOK CHAPTER published 1995 in Mathematical Finance |
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Using Markov decision processes to optimize a nonlinear functional of the final distribution, with manufacturing applications BOOK CHAPTER published 1997 in Lecture Notes in Economics and Mathematical Systems |
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Integro-differential optimality equations for the risk-sensitive control of piecewise deterministic Markov processes JOURNAL ARTICLE published April 2021 in Mathematical Methods of Operations Research Research funded by Fapesp (2014/50279-4,2014/50851-0) | Conselho Nacional de Desenvolvimento Científico e Tecnológico (304149/2019-5) |
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Choice from Comparisons: A Survey of Game-Theoretical Methods BOOK CHAPTER published 1999 in Advances in Decision Analysis |
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On a Class of Stochastic Bang-Bang Control Problems BOOK CHAPTER published 1975 in Lecture Notes in Economics and Mathematical Systems |
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Stochastic ordering for Markov processes on partially ordered spaces with applications to queueing networks BOOK CHAPTER published 1991 in Stochastic orders and decision under risk |
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Stochastic State Space Representation of Images BOOK CHAPTER published 1975 in Lecture Notes in Economics and Mathematical Systems |
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Some Stochastic Systems on Manifolds BOOK CHAPTER published 1975 in Lecture Notes in Economics and Mathematical Systems |
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The Intrinsic Model for Discrete Stochastic Control: Some Open Problems BOOK CHAPTER published 1975 in Lecture Notes in Economics and Mathematical Systems |
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Sufficient Conditions of Absolute Stability: Classical Methods BOOK CHAPTER published 2008 in Absolute Stability of Nonlinear Control Systems |