Optimality equations and inequalities in a class of risk-sensitive average cost Markov decision chains

JOURNAL ARTICLE published February 2010 in Mathematical Methods of Operations Research

Authors: Rolando Cavazos-Cadena

Robust optimal control for a consumption-investment problem

JOURNAL ARTICLE published February 2008 in Mathematical Methods of Operations Research

Authors: Alexander Schied

Unbounded cost Markov decision processes with limsup and liminf average criteria: new conditions

JOURNAL ARTICLE published July 2005 in Mathematical Methods of Operations Research

Authors: Quanxin Zhu | Xianping Guo | Yonglong Dai

A limited-feedback approximation scheme for optimal switching problems with execution delays

JOURNAL ARTICLE published June 2018 in Mathematical Methods of Operations Research

Research funded by Vetenskapsrådet (NT-14, 2014-03774)

Authors: Magnus Perninge

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

Contractive approximations in average Markov decision chains driven by a risk-seeking controller

JOURNAL ARTICLE published August 2023 in Mathematical Methods of Operations Research

Authors: Gustavo Portillo-Ramírez | Rolando Cavazos-Cadena | Hugo Cruz-Suárez

Solutions of the average cost optimality equation for finite Markov decision chains: risk-sensitive and risk-neutral criteria

JOURNAL ARTICLE published December 2009 in Mathematical Methods of Operations Research

Authors: Rolando Cavazos-Cadena

A maximum principle for Markov regime-switching forward–backward stochastic differential games and applications

JOURNAL ARTICLE published June 2017 in Mathematical Methods of Operations Research

Research funded by Alexander von Humboldt-Stiftung (01DG15010) | Seventh Framework Programme (318984-RARE)

Authors: Olivier Menoukeu-Pamen | Romuald Hervé Momeya

Singularly perturbed Markov control problem: Limiting average cost

JOURNAL ARTICLE published December 1991 in Annals of Operations Research

Authors: Tomasz R. Bielecki | Jerzy A. Filar

An optimal reinsurance problem in the Cramér–Lundberg model

JOURNAL ARTICLE published April 2017 in Mathematical Methods of Operations Research

Research funded by Austrian Science Fund (AT) (F5510) | Schweizerischer Nationalfonds zur Förderung der Wissenschaftlichen Forschung (200021-124635/1)

Authors: Arian Cani | Stefan Thonhauser

Approximation of average cost optimal policies for general Markov decision processes with unbounded costs

JOURNAL ARTICLE published June 1997 in Mathematical Methods of Operations Research

Authors: Evgueni Gordienko | Ra�l Montes-De-Oca | Adolfo Minj�rez-Sosa

Optimal partial hedging in a discrete-time market as a knapsack problem

JOURNAL ARTICLE published December 2010 in Mathematical Methods of Operations Research

Authors: Peter Lindberg

Nonlinear-programming reformulation of the order-value optimization problem

JOURNAL ARTICLE published July 2005 in Mathematical Methods of Operations Research

Authors: R. Andreani | C. Dunder | J. M. Martínez

Optimal double control problem for a PDE model of goodwill dynamics

JOURNAL ARTICLE published June 2017 in Mathematical Methods of Operations Research

Authors: Mariusz Górajski | Dominika Machowska

A hybrid heuristic for the set covering problem

JOURNAL ARTICLE published November 2012 in Operational Research

Authors: Shyam Sundar | Alok Singh

Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates

JOURNAL ARTICLE published April 2021 in Mathematical Methods of Operations Research

Research funded by National Natural Science Foundation of China (11671323) | Program for New Century Excellent Talents in University (NCET-12-0922) | Fundamental Research Funds for the Central Universities (JBK1805001)

Authors: Wensheng Yang | Jingtang Ma | Zhenyu Cui

Constrained Markov decision processes in Borel spaces: from discounted to average optimality

JOURNAL ARTICLE published December 2016 in Mathematical Methods of Operations Research

Research funded by Consejo Nacional de Ciencia y Tecnología (238045)

Authors: Armando F. Mendoza-Pérez | Héctor Jasso-Fuentes | Omar A. De-la-Cruz Courtois

Average cost Markov control processes with weighted norms: value iteration

JOURNAL ARTICLE published 1995 in Applicationes Mathematicae

Authors: Evgueni Gordienko | Onésimo Hernández-Lerma

Book Review

JOURNAL ARTICLE published June 2005 in Mathematical Methods of Operations Research

Authors: R. Henrion

Optimal mean–variance investment/reinsurance with common shock in a regime-switching market

JOURNAL ARTICLE published August 2019 in Mathematical Methods of Operations Research

Research funded by National Natural Science Foundation of China (11301188,11571189) | National Natural Science Foundation of China (11471165) | Specialized Research Fund for the Doctoral Program of Higher Education of China (20130076120008) | Research Grants Council of the Hong Kong Special Administrative Region, China (HKU17329216)

Authors: Junna Bi | Zhibin Liang | Kam Chuen Yuen