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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 |
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) |
Optimal switching problem for countable Markov chains: average reward criterion JOURNAL ARTICLE published 5 April 2001 in Mathematical Methods of Operations Research (ZOR) |
Average cost Markov control processes: stability with respect to the Kantorovich metric JOURNAL ARTICLE published August 2009 in Mathematical Methods of Operations Research |
Discounted cost optimality problem: stability with respect to weak metrics JOURNAL ARTICLE published August 2008 in Mathematical Methods of Operations Research |
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 |
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) |
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 |
Constrained continuous-time Markov decision processes with average criteria JOURNAL ARTICLE published April 2008 in Mathematical Methods of Operations Research |
Markov Decision Processes with Average-Value-at-Risk criteria JOURNAL ARTICLE published December 2011 in Mathematical Methods of Operations Research |
Average optimality inequality for continuous-time Markov decision processes in Polish spaces JOURNAL ARTICLE published 24 September 2007 in Mathematical Methods of Operations Research |
Optimal switching between cash-flow streams JOURNAL ARTICLE published December 2017 in Mathematical Methods of Operations Research |
Nonzero-sum semi-Markov games with the expected average payoffs JOURNAL ARTICLE published September 2005 in Mathematical Methods of Operations Research |
New sufficient conditions for average optimality in continuous-time Markov decision processes JOURNAL ARTICLE published August 2010 in Mathematical Methods of Operations Research |
Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach JOURNAL ARTICLE published February 2014 in Mathematical Methods of Operations Research |
A singular stochastic control problem with direction switching cost JOURNAL ARTICLE published December 2023 in Mathematical Methods of Operations Research |
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) |
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 |
Robust optimal control for a consumption-investment problem JOURNAL ARTICLE published February 2008 in Mathematical Methods of Operations Research |
Unbounded cost Markov decision processes with limsup and liminf average criteria: new conditions JOURNAL ARTICLE published July 2005 in Mathematical Methods of Operations Research |