The policy iteration algorithm for average reward Markov decision processes with general state space

JOURNAL ARTICLE published 1997 in IEEE Transactions on Automatic Control

Authors: S.P. Meyn

General state space Markov chains and MCMC algorithms

JOURNAL ARTICLE published 1 January 2004 in Probability Surveys

Authors: Gareth O. Roberts | Jeffrey S. Rosenthal

Hedging, arbitrage and optimality with superlinear frictions

JOURNAL ARTICLE published 1 August 2015 in The Annals of Applied Probability

Authors: Paolo Guasoni | Miklós Rásonyi

Risk-sensitive average continuous-time Markov decision processes with unbounded transition and cost rates

JOURNAL ARTICLE published June 2021 in Journal of Applied Probability

Authors: Xin Guo | Yonghui Huang

The Value Iteration Algorithm in Risk-Sensitive Average Markov Decision Chains with Finite State Space

JOURNAL ARTICLE published November 2003 in Mathematics of Operations Research

Authors: Rolando Cavazos-Cadena | Raúl Montes-de-Oca

Ergodic risk-sensitive control of Markov processes on countable state space revisited

JOURNAL ARTICLE published 2022 in ESAIM: Control, Optimisation and Calculus of Variations

Research funded by science and engineering research board (MTR/2018/000028) | science and engineering research board (PDF/2020/001938)

Authors: Anup Biswas | Somnath Pradhan

Vanishing discount approximations in controlled Markov chains with risk-sensitive average criterion

JOURNAL ARTICLE published March 2018 in Advances in Applied Probability

Authors: Rolando Cavazos-Cadena | Daniel Hernández-Hernández

Unusual Cluster Sets for the LIL Sequence in Banach Space

JOURNAL ARTICLE published 1 July 1989 in The Annals of Probability

Authors: Kenneth S. Alexander

A note on Metropolis-Hastings kernels for general state spaces

JOURNAL ARTICLE published 1 February 1998 in The Annals of Applied Probability

Authors: Luke Tierney

Blackwell optimality in Markov decision processes with a Borel state space

PROCEEDINGS ARTICLE published in Proceedings of the 36th IEEE Conference on Decision and Control

Authors: A.A. Yushkevich

Fuzzy optimality relation for perceptive MDPs—the average case

JOURNAL ARTICLE published September 2007 in Fuzzy Sets and Systems

Authors: M. Kurano | M. Yasuda | J. Nakagami | Y. Yoshida

Risk-sensitive linear/quadratic/gaussian control

JOURNAL ARTICLE published December 1981 in Advances in Applied Probability

Authors: P. Whittle

Discounted approximations in risk-sensitive average Markov cost chains with finite state space

JOURNAL ARTICLE published April 2020 in Mathematical Methods of Operations Research

Authors: Rubén Blancas-Rivera | Rolando Cavazos-Cadena | Hugo Cruz-Suárez

Nonstationary value iteration in controlled Markov chains with risk-sensitive average criterion

JOURNAL ARTICLE published December 2005 in Journal of Applied Probability

Authors: Rolando Cavazos-Cadena | Raúl Montes-De-Oca

On the structure of general mean-variance hedging strategies

JOURNAL ARTICLE published 1 July 2007 in The Annals of Probability

Authors: Aleš Černý | Jan Kallsen

Controlled Markov chains with risk-sensitive criteria: Average cost, optimality equations, and optimal solutions

JOURNAL ARTICLE published April 1999 in Mathematical Methods of Operations Research

Authors: Rolando Cavazos-Cadena | Emmanuel Fernández-Gaucherand

Singular control with state constraints on unbounded domain

JOURNAL ARTICLE published 1 September 2006 in The Annals of Probability

Authors: Rami Atar | Amarjit Budhiraja

Design of Linear State Feedback Control Laws

OTHER published 14 February 2007 in Linear State‐Space Control Systems

On optimality gaps in the Halfin–Whitt regime

JOURNAL ARTICLE published 1 February 2012 in The Annals of Applied Probability

Authors: Baris Ata | Itai Gurvich

Extreme Value Theory for Moving Average Processes

JOURNAL ARTICLE published 1 April 1986 in The Annals of Probability

Authors: Holger Rootzen