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Stability estimates in the problem of average optimal switching of a Markov chain

JOURNAL ARTICLE published August 2003 in Mathematical Methods of Operations Research

Authors: Evgueni Gordienko | Alexander Yushkevich

https://doi.org/10.1007/s001860200258 Actions

Average optimal switching of a Markov chain with a Borel state space

JOURNAL ARTICLE published 1 March 2002 in Mathematical Methods of Operations Research (ZOR)

Authors: Alexander Yushkevich | Evgueni Gordienko

https://doi.org/10.1007/s001860200178 Actions

Optimal switching problem for countable Markov chains: average reward criterion

JOURNAL ARTICLE published 5 April 2001 in Mathematical Methods of Operations Research (ZOR)

Authors: Alexander Yushkevich

https://doi.org/10.1007/s001860000102 Actions

Average cost Markov control processes: stability with respect to the Kantorovich metric

JOURNAL ARTICLE published August 2009 in Mathematical Methods of Operations Research

Authors: Evgueni Gordienko | Enrique Lemus-Rodríguez | Raúl Montes-de-Oca

https://doi.org/10.1007/s00186-008-0229-6 Actions

Optimal Switching Problem for Markov Chains

BOOK CHAPTER published 2002 in Markov Processes and Controlled Markov Chains

Authors: A. A. Yushkevich

https://doi.org/10.1007/978-1-4613-0265-0_15 Actions

Discounted cost optimality problem: stability with respect to weak metrics

JOURNAL ARTICLE published August 2008 in Mathematical Methods of Operations Research

Authors: Evgueni Gordienko | Enrique Lemus-Rodríguez | Raúl Montes-de-Oca

https://doi.org/10.1007/s00186-007-0171-z Actions

A finite horizon optimal switching problem with memory and application to controlled SDDEs

JOURNAL ARTICLE published June 2020 in Mathematical Methods of Operations Research

Research funded by Swedish Energy Agency (42982-1)

Authors: Magnus Perninge

https://doi.org/10.1007/s00186-019-00699-1 Actions

Optimal price management in retail energy markets: an impulse control problem with asymptotic estimates

JOURNAL ARTICLE published June 2019 in Mathematical Methods of Operations Research

Authors: Matteo Basei

https://doi.org/10.1007/s00186-019-00665-x Actions

Continuity of the optimal average cost in Markov decision chains with small risk-sensitivity

JOURNAL ARTICLE published June 2015 in Mathematical Methods of Operations Research

Authors: Selene Chávez-Rodríguez | Rolando Cavazos-Cadena | Hugo Cruz-Suárez

https://doi.org/10.1007/s00186-015-0496-y Actions

The Optimal Stopping Problem

BOOK CHAPTER published 1969 in Markov Processes

Authors: Evgenii B. Dynkin | Aleksandr A. Yushkevich

https://doi.org/10.1007/978-1-4899-5591-3_3 Actions

Stability estimates for controlled Markov chains with a minorant

JOURNAL ARTICLE published February 1988 in Journal of Soviet Mathematics

Authors: E. I. Gordienko

https://doi.org/10.1007/bf01083641 Actions

Markov Decision Processes with Average-Value-at-Risk criteria

JOURNAL ARTICLE published December 2011 in Mathematical Methods of Operations Research

Authors: Nicole Bäuerle | Jonathan Ott

https://doi.org/10.1007/s00186-011-0367-0 Actions

Constrained continuous-time Markov decision processes with average criteria

JOURNAL ARTICLE published April 2008 in Mathematical Methods of Operations Research

Authors: Lanlan Zhang | Xianping Guo

https://doi.org/10.1007/s00186-007-0154-0 Actions

Average optimality inequality for continuous-time Markov decision processes in Polish spaces

JOURNAL ARTICLE published 24 September 2007 in Mathematical Methods of Operations Research

Authors: Quanxin Zhu

https://doi.org/10.1007/s00186-007-0157-x Actions

Optimal switching between cash-flow streams

JOURNAL ARTICLE published December 2017 in Mathematical Methods of Operations Research

Authors: Thomas A. Weber

https://doi.org/10.1007/s00186-017-0586-0 Actions

Nonzero-sum semi-Markov games with the expected average payoffs

JOURNAL ARTICLE published September 2005 in Mathematical Methods of Operations Research

Authors: Andrzej S. Nowak | Anna Jaśkiewicz

https://doi.org/10.1007/s00186-005-0439-0 Actions

New sufficient conditions for average optimality in continuous-time Markov decision processes

JOURNAL ARTICLE published August 2010 in Mathematical Methods of Operations Research

Authors: Liuer Ye | Xianping Guo

https://doi.org/10.1007/s00186-010-0307-4 Actions

Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach

JOURNAL ARTICLE published February 2014 in Mathematical Methods of Operations Research

Authors: Joanna Janczura

https://doi.org/10.1007/s00186-013-0451-8 Actions

A singular stochastic control problem with direction switching cost

JOURNAL ARTICLE published December 2023 in Mathematical Methods of Operations Research

Authors: Łukasz Kruk

https://doi.org/10.1007/s00186-023-00839-8 Actions

Markov risk mappings and risk-sensitive optimal prediction

JOURNAL ARTICLE published February 2023 in Mathematical Methods of Operations Research

Research funded by Engineering and Physical Sciences Research Council (EP/P002625/1) | Lloyd’s Register Foundation (G0095) | Engineering and Physical Sciences Research Council (EP/R014604/1,EP/N013492/1)

Authors: Tomasz Kosmala | Randall Martyr | John Moriarty

https://doi.org/10.1007/s00186-022-00802-z Actions
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