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

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

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

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

The optimality equation in average cost denumerable state semi-Markov decision problems, recurrency conditions and algorithms

JOURNAL ARTICLE published June 1978 in Advances in Applied Probability

Authors: A. Federgruen | H. C. Tijms

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

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

The optimality equation in average cost denumerable state semi-Markov decision problems, recurrency conditions and algorithms

JOURNAL ARTICLE published June 1978 in Journal of Applied Probability

Authors: A. Federgruen | H. C. Tijms

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

A general lower bound for mixing of single-site dynamics on graphs

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

Authors: Thomas P. Hayes | Alistair Sinclair

Risk-Sensitive Control

BOOK CHAPTER published in Stochastic Modelling and Applied Probability

Risk-sensitive credit portfolio optimization under partial information and contagion risk

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

Authors: Lijun Bo | Huafu Liao | Xiang Yu

Model robustness of finite state nonlinear filtering over the infinite time horizon

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

Authors: Pavel Chigansky | Ramon van Handel

Near—Optimal Risk—Sensitive Control

BOOK CHAPTER published in Stochastic Modelling and Applied Probability

Asymptotic optimality of tracking policies in stochastic networks

JOURNAL ARTICLE published 1 November 2000 in The Annals of Applied Probability

Authors: Nicole Bäuerle