A note on negative dynamic programming for risk-sensitive control

JOURNAL ARTICLE published September 2008 in Operations Research Letters

Authors: Anna Jaśkiewicz

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

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

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

Risk-Sensitive Control

BOOK CHAPTER published in Stochastic Modelling and Applied Probability

$R$-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

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

Near—Optimal Risk—Sensitive Control

BOOK CHAPTER published in Stochastic Modelling and Applied Probability

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

Optimality in Feller semi-Markov control processes

JOURNAL ARTICLE published November 2006 in Operations Research Letters

Authors: Anna Jaśkiewicz | Andrzej S. Nowak

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

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

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

Average Risk Optimality

BOOK CHAPTER published in Theory of Point Estimation

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

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