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Certainty equivalent control of discrete time Markov processes with the average reward functional JOURNAL ARTICLE published November 2023 in Systems & Control Letters Research funded by Narodowe Centrum Nauki (2020/37/B/ST1/00463) |
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Risk-sensitive and minimax control of discrete-time, finite-state Markov decision processes JOURNAL ARTICLE published February 1999 in Automatica |
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Risk-Sensitive Average Optimality for Discrete-Time Markov Decision Processes JOURNAL ARTICLE published 28 February 2023 in SIAM Journal on Control and Optimization Research funded by National Natural Science Foundation of China (12271454) | National Natural Science Foundation of China (12171170) | Natural Science Foundation of Fujian Province (2021J01308) |
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On Risk-Sensitive Ergodic Impulsive Control of Markov Processes JOURNAL ARTICLE published January 2002 in Applied Mathematics & Optimization |
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Mixed risk-neutral/minimax control of discrete-time, finite-state Markov decision processes JOURNAL ARTICLE published March 2000 in IEEE Transactions on Automatic Control |
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Adaptive control of discrete time Markov processes by the method of large deviations PROCEEDINGS ARTICLE published in Proceedings of 35th IEEE Conference on Decision and Control |
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Risk-Sensitive, Minimax, and Mixed Risk-Neutral / Minimax Control of Markov Decision Processes BOOK CHAPTER published 1999 in Stochastic Analysis, Control, Optimization and Applications |
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Risk-Sensitive Control on an Infinite Time Horizon JOURNAL ARTICLE published November 1995 in SIAM Journal on Control and Optimization |
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Remarks on Risk Neutral and Risk Sensitive Portfolio Optimization BOOK CHAPTER published 2006 in From Stochastic Calculus to Mathematical Finance |
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Numerical methods for infinite horizon risk sensitive stochastic control PROCEEDINGS ARTICLE published in Proceedings of 1994 33rd IEEE Conference on Decision and Control |
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Adaptive control of discrete time Markov processes by the large deviations method JOURNAL ARTICLE published 2000 in Applicationes Mathematicae |
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Finite-Horizon Problems BOOK CHAPTER published 1996 in Discrete-Time Markov Control Processes |
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Infinite Horizon H2/H∞ Control for Discrete-Time Mean-Field Stochastic Systems JOURNAL ARTICLE published 18 November 2023 in Processes Research funded by the National Natural Science Foundation of China (62073204) |
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Stochastic Optimal Control Problems and Markov Decision Processes with Infinite Time Horizon BOOK CHAPTER published 2015 in Optimization of Stochastic Discrete Systems and Control on Complex Networks |
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On linear solutions to a class of risk sensitive control for linear systems with stochastic parameters: Infinite time horizon case PROCEEDINGS ARTICLE published July 2016 in 2016 American Control Conference (ACC) |
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Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions JOURNAL ARTICLE published May 2018 in Stochastic Processes and their Applications Research funded by Office of Naval Research (N00014-14-1-0196) | Army Research Office (W911NF-17-1-001) | INSPIRE (IFA13/IMA-32) |
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Risk-sensitive continuous-time Markov decision processes with unbounded rates and Borel spaces JOURNAL ARTICLE published December 2019 in Discrete Event Dynamic Systems Research funded by National Natural Science Foundation of China (61773411) | National Natural Science Foundation of China (61673019) |
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Risk-sensitive portfolio optimization problems for hidden Markov factors on infinite time horizon JOURNAL ARTICLE published 2011 in Asymptotic Analysis |
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THE OPTIMAL CONTROL OF DISCOUNTED MARKOV PROCESSES WITH INFINITE HORIZON BOOK CHAPTER published 1987 in Stochastic Control |
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Finite Horizon <tex>$H_{2}/H_{infty}$</tex> Control for Discrete-Time Time-Delay Stochastic Systems with Infinite Markov Jumps PROCEEDINGS ARTICLE published July 2018 in 2018 37th Chinese Control Conference (CCC) |