Average optimality for risk-sensitive control with general state space

JOURNAL ARTICLE published 1 April 2007 in The Annals of Applied Probability

Authors: Anna Jaśkiewicz

Finite state multi-armed bandit problems: sensitive-discount, average-reward and average-overtaking optimality

JOURNAL ARTICLE published 1 August 1996 in The Annals of Applied Probability

Authors: Michael N. Katehakis | Uriel G. Rothblum

Sensitive Discount Optimality in Controlled One-Dimensional Diffusions

JOURNAL ARTICLE published 1 June 1974 in The Annals of Probability

Authors: Martin L. Puterman

Average optimality for continuous-time Markov decision processes in Polish spaces

JOURNAL ARTICLE published 1 May 2006 in The Annals of Applied Probability

Authors: Xianping Guo | Ulrich Rieder

A characterization of the optimal risk-sensitive average cost in finite controlled Markov chains

JOURNAL ARTICLE published 1 February 2005 in The Annals of Applied Probability

Authors: Rolando Cavazos-Cadena | Daniel Hernández-Hernández

Renewal Theory for Functionals of a Markov Chain with General State Space

JOURNAL ARTICLE published 1 June 1974 in The Annals of Probability

Authors: Harry Kesten

Average and diffusion approximation of stochastic evolutionary systems in an asymptotic split state space

JOURNAL ARTICLE published 1 February 2004 in The Annals of Applied Probability

Authors: Vladimir S. Korolyuk | Nikolaos Limnios

Risk-sensitive control for a class of diffusions with jumps

JOURNAL ARTICLE published 1 December 2022 in The Annals of Applied Probability

Authors: Ari Arapostathis | Anup Biswas

Risk-sensitive control and an optimal investment model II

JOURNAL ARTICLE published 1 May 2002 in The Annals of Applied Probability

Authors: W. H. Fleming | S. J. Sheu

On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control

JOURNAL ARTICLE published 1 January 2006 in The Annals of Probability

Authors: Hidehiro Kaise | Shuenn-Jyi Sheu

$R$-Theory for Markov Chains on a General State Space I: Solidarity Properties and $R$-Recurrent Chains

JOURNAL ARTICLE published 1 October 1974 in The Annals of Probability

Authors: Richard L. Tweedie

$R$-Theory for Markov Chains on a General State Space II: $r$-Subinvariant Measures for $r$-Transient Chains

JOURNAL ARTICLE published 1 October 1974 in The Annals of Probability

Authors: Richard L. Tweedie

A Direct Construction of the $R$-Invariant Measure for a Markov Chain on a General State Space

JOURNAL ARTICLE published 1 August 1976 in The Annals of Probability

Authors: Esa Nummelin | Elja Arjas

Time-Average Control of Martingale Problems: A Linear Programming Formulation

JOURNAL ARTICLE published 1 January 1990 in The Annals of Probability

Authors: Richard H. Stockbridge

Scheduling control for queueing systems with many servers: Asymptotic optimality in heavy traffic

JOURNAL ARTICLE published 1 November 2005 in The Annals of Applied Probability

Authors: Rami Atar

Sequential Monte Carlo smoothing for general state space hidden Markov models

JOURNAL ARTICLE published 1 December 2011 in The Annals of Applied Probability

Authors: Randal Douc | Aurélien Garivier | Eric Moulines | Jimmy Olsson

Time-Average Control of Martingale Problems: Existence of a Stationary Solution

JOURNAL ARTICLE published 1 January 1990 in The Annals of Probability

Authors: Richard H. Stockbridge

Some relations between mutual information and estimation error in Wiener space

JOURNAL ARTICLE published 1 June 2007 in The Annals of Applied Probability

Authors: Eddy Mayer-Wolf | Moshe Zakai

Control of end-to-end delay tails in a multiclass network: LWDF discipline optimality

JOURNAL ARTICLE published 1 August 2003 in The Annals of Applied Probability

Authors: Alexander L. Stolyar

Dynamic control of Brownian networks: state space collapse and equivalent workload formulations

JOURNAL ARTICLE published 1 August 1997 in The Annals of Applied Probability

Authors: J. Michael Harrison | Jan A. Van Mieghem