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Existence of Risk-Sensitive Optimal Stationary Policies for Controlled Markov Processes

JOURNAL ARTICLE published 19 November 1999 in Applied Mathematics and Optimization

Authors: D. Hernández-Hernández

Existence of optimal stationary policies in average reward Markov decision processes with a recurrent state

JOURNAL ARTICLE published September 1992 in Applied Mathematics & Optimization

Authors: Rolando Cavazos-Cadena

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 cost Markov control processes with weighted norms: existence of canonical policies

JOURNAL ARTICLE published 1995 in Applicationes Mathematicae

Authors: Evgueni Gordienko | Onésimo Hernández-Lerma

Risk Sensitive Markov Decision Processes

BOOK CHAPTER published 1997 in Systems and Control in the Twenty-First Century

Authors: S. I. Marcus | E. Fernández-Gaucherand | D. Hernández-Hernández | S. Coraluppi | P. Fard

Deterministic optimal policies for Markov control processes with pathwise constraints

JOURNAL ARTICLE published 2012 in Applicationes Mathematicae

Authors: Armando F. Mendoza-Pérez | Onésimo Hernández-Lerma

Optimal and Nearly Optimal Policies in Markov Decision Chains with Nonnegative Rewards and Risk-Sensitive Expected Total-Reward Criterion

BOOK CHAPTER published 2002 in Markov Processes and Controlled Markov Chains

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

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

Risk sensitive control of Markov processes in countable state space

JOURNAL ARTICLE published November 1996 in Systems & Control Letters

Authors: Daniel Hernandez-Hernández | Steven I. Marcus

Risk-Sensitive, Minimax, and Mixed Risk-Neutral / Minimax Control of Markov Decision Processes

BOOK CHAPTER published 1999 in Stochastic Analysis, Control, Optimization and Applications

Authors: Stefano P. Coraluppi | Steven I. Marcus

Local Poisson Equations Associated with Discrete-Time Markov Control Processes

JOURNAL ARTICLE published April 2017 in Journal of Optimization Theory and Applications

Research funded by CONACYT (254166)

Authors: Daniel Hernández Hernández | Diego Hernández Bustos

On Risk-Sensitive Piecewise Deterministic Markov Decision Processes

JOURNAL ARTICLE published June 2020 in Applied Mathematics & Optimization

Authors: Xin Guo | Yi Zhang

Time-Inconsistent Risk-Sensitive Equilibrium for Countable-Stated Markov Decision Processes

JOURNAL ARTICLE published October 2021 in Applied Mathematics & Optimization

Authors: Hongwei Mei

On Risk-Sensitive Ergodic Impulsive Control of Markov Processes

JOURNAL ARTICLE published January 2002 in Applied Mathematics & Optimization

Authors: R. Sadowy | L. Stettner

Characterizations of Overtaking Optimality for Controlled Diffusion Processes

JOURNAL ARTICLE published June 2008 in Applied Mathematics and Optimization

Authors: Héctor Jasso-Fuentes | Onésimo Hernández-Lerma

Successive approximations in partially observable controlled Markov chains with risk-sensitive average criterion

JOURNAL ARTICLE published December 2005 in Stochastics

Authors: Rolando Cavazos-Cadena | Daniel Hernández-Hernández

Quantile Portfolio Optimization Under Risk Measure Constraints

JOURNAL ARTICLE published October 2013 in Applied Mathematics & Optimization

Authors: Luis D. Cahuich | Daniel Hernández-Hernández

Optimal policies for constrained average-cost Markov decision processes

JOURNAL ARTICLE published July 2011 in TOP

Authors: Juan González-Hernández | César E. Villarreal

Adaptive control of discounted Markov decision chains

JOURNAL ARTICLE published June 1985 in Journal of Optimization Theory and Applications

Authors: O. Hernández-Lerma | S. I. Marcus

Controlled Markov Processes

BOOK CHAPTER published 1989 in Adaptive Markov Control Processes

Authors: O. Hernández-Lerma