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

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

On Risk-Sensitive Piecewise Deterministic Markov Decision Processes

JOURNAL ARTICLE published June 2020 in Applied Mathematics & Optimization

Authors: Xin Guo | Yi Zhang

On Risk-Sensitive Ergodic Impulsive Control of Markov Processes

JOURNAL ARTICLE published January 2002 in Applied Mathematics & Optimization

Authors: R. Sadowy | L. Stettner

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

JOURNAL ARTICLE published October 2021 in Applied Mathematics & Optimization

Authors: Hongwei Mei

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

Quantile Portfolio Optimization Under Risk Measure Constraints

JOURNAL ARTICLE published October 2013 in Applied Mathematics & Optimization

Authors: Luis D. Cahuich | Daniel Hernández-Hernández

Controlled Markov Processes

BOOK CHAPTER published 1989 in Adaptive Markov Control Processes

Authors: O. Hernández-Lerma

Nonzero-Sum Games of Optimal Stopping for Markov Processes

JOURNAL ARTICLE published June 2018 in Applied Mathematics & Optimization

Authors: Natalie Attard

On nonlinear semigroups for Markov processes associated with optimal stopping

JOURNAL ARTICLE published March 1977 in Applied Mathematics & Optimization

Authors: Makiko Nisio

The Discounted Method and Equivalence of Average Criteria for Risk-Sensitive Markov Decision Processes on Borel Spaces

JOURNAL ARTICLE published April 2010 in Applied Mathematics and Optimization

Authors: Rolando Cavazos-Cadena | Francisco Salem-Silva

Envelopes of Sets of Measures, Tightness, and Markov Control Processes

JOURNAL ARTICLE published 19 November 1999 in Applied Mathematics and Optimization

Authors: J. González-Hernández

Optimal non-linear filtering of a class of partially observable Markov processes

JOURNAL ARTICLE published June 1976 in Applied Mathematics & Optimization

Authors: O. Glonti

Risk-sensitive and risk-neutral control for continuous-time hidden Markov models

JOURNAL ARTICLE published July 1996 in Applied Mathematics & Optimization

Authors: M. R. James | R. J. Elliott

Optimal Control of Markov Processes with Age-Dependent Transition Rates

JOURNAL ARTICLE published October 2012 in Applied Mathematics & Optimization

Authors: Mrinal K. Ghosh | Subhamay Saha

Existence and Uniqueness of Solutions for Abstract Neutral Differential Equations with State-Dependent Delay

JOURNAL ARTICLE published February 2020 in Applied Mathematics & Optimization

Authors: Eduardo Hernández | Jianhong Wu | Denis Fernandes

Risk-Sensitive Ergodic Control of Reflected Diffusion Processes in Orthant

JOURNAL ARTICLE published June 2021 in Applied Mathematics & Optimization

Authors: Somnath Pradhan

The Tradeoff between Consumption and Investment in Incomplete Financial Markets

JOURNAL ARTICLE published August 2005 in Applied Mathematics and Optimization

Authors: Wendell H. Fleming | Daniel Hernández-Hernández