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Risk-sensitive control of stochastic hybrid systems on infinite time horizon

JOURNAL ARTICLE published 2000 in Mathematical Problems in Engineering

Research funded by National Science Foundation (ECS-9629866)

Authors: Thordur Runolfsson

https://doi.org/10.1155/s1024123x99001192 Actions

Remarks on Risk Neutral and Risk Sensitive Portfolio Optimization

BOOK CHAPTER published 2006 in From Stochastic Calculus to Mathematical Finance

Authors: Giovanni B. Di Masi | Lukasz Stettner

https://doi.org/10.1007/978-3-540-30788-4_10 Actions

CONTROL OF MARKOV PROCESSES WITH DISCRETE TIME AND SEMI-MARKOV PROCESSES

BOOK CHAPTER published December 2005 in Mathematical Theory of Adaptive Control

https://doi.org/10.1142/9789812701039_0007 Actions

Discrete‐time risk sensitive portfolio optimization with proportional transaction costs

JOURNAL ARTICLE published October 2023 in Mathematical Finance

Research funded by Narodowe Centrum Nauki (2020/37/B/ST1/00463)

Authors: Marcin Pitera | Łukasz Stettner

https://doi.org/10.1111/mafi.12406 Actions

Risk measurement and risk-averse control of partially observable discrete-time Markov systems

JOURNAL ARTICLE published October 2018 in Mathematical Methods of Operations Research

Research funded by Division of Mathematical Sciences (1312016)

Authors: Jingnan Fan | Andrzej Ruszczyński

https://doi.org/10.1007/s00186-018-0633-5 Actions

Continuous-time Markov decision processes with risk-sensitive finite-horizon cost criterion

JOURNAL ARTICLE published December 2016 in Mathematical Methods of Operations Research

Authors: Qingda Wei

https://doi.org/10.1007/s00186-016-0550-4 Actions

Risk-Sensitive Optimal Investment Problems with Partial Information on Infinite Time Horizon

PROCEEDINGS ARTICLE published December 2001 in Recent Developments in Mathematical Finance

Authors: Hideo Nagai | Shige Peng

https://doi.org/10.1142/9789812799579_0008 Actions

Average cost per unit time control of discrete time unreliable manufacturing systems with Markov demand

JOURNAL ARTICLE published 2 July 1999 in Mathematical Methods of Operations Research (ZOR)

Authors: Krzysztof Łazarski | Łukasz Stettner

https://doi.org/10.1007/s001860050061 Actions

Process-based risk measures and risk-averse control of discrete-time systems

JOURNAL ARTICLE published January 2022 in Mathematical Programming

Research funded by Directorate for Mathematical and Physical Sciences (1312016)

Authors: Jingnan Fan | Andrzej Ruszczyński

https://doi.org/10.1007/s10107-018-1349-2 Actions

Lagrange multipliers in infinite horizon discrete time optimal control models

JOURNAL ARTICLE published March 1982 in Journal of Mathematical Economics

Authors: W.D. Dechert

https://doi.org/10.1016/0304-4068(82)90033-7 Actions

H2-optimal control for periodic, discrete-time Markov-jump systems with multiplicative noise in infinite dimensions

JOURNAL ARTICLE published September 2016 in IMA Journal of Mathematical Control and Information

Authors: Viorica Mariela Ungureanu

https://doi.org/10.1093/imamci/dnv008 Actions

RISK-REWARD OPTIMIZATION WITH DISCRETE-TIME COHERENT RISK

JOURNAL ARTICLE published 22 September 2010 in Mathematical Finance

Authors: Alexander S. Cherny

https://doi.org/10.1111/j.1467-9965.2010.00412.x Actions

MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON

JOURNAL ARTICLE published January 1994 in Mathematical Finance

Authors: W. Schachermayer

https://doi.org/10.1111/j.1467-9965.1994.tb00048.x Actions

Finite and infinite horizon H  control for stochastic nonlinear systems

JOURNAL ARTICLE published 1 September 2000 in IMA Journal of Mathematical Control and Information

Authors: M. Aliyu

https://doi.org/10.1093/imamci/17.3.265 Actions

Full InformationH∞-Control for Discrete-Time Infinite Markov Jump Parameter Systems

JOURNAL ARTICLE published September 1996 in Journal of Mathematical Analysis and Applications

Authors: O.L.V. Costa | J.B.R. do Val

https://doi.org/10.1006/jmaa.1996.0335 Actions

Nonconvex Global Optimization Problems: Constrained Infinite-Horizon Linear-Quadratic Control Problems for Discrete Systems

BOOK CHAPTER published in Directions in Mathematical Systems Theory and Optimization

Authors: V. A. Yakubovich

https://doi.org/10.1007/3-540-36106-5_26 Actions

Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management

JOURNAL ARTICLE published 18 October 1999 in Mathematical Methods of Operations Research (ZOR)

Authors: Tomasz Bielecki | Daniel Hernández-Hernández | Stanley R. Pliska

https://doi.org/10.1007/s001860050094 Actions

Markov Decision Processes and the Total Reward Criterion

BOOK CHAPTER published in Lecture Notes in Economics and Mathematical Systems

https://doi.org/10.1007/978-3-540-73014-9_2 Actions

The study of basic risk processes by discrete-time non-homogeneous Markov processes

JOURNAL ARTICLE published 5 October 2018 in Theory of Probability and Mathematical Statistics

Authors: G. D’Amico | F. Gismondi | J. Janssen | R. Manca | F. Petroni | E. Volpe di Prignano

https://doi.org/10.1090/tpms/1032 Actions

Integro-differential optimality equations for the risk-sensitive control of piecewise deterministic Markov processes

JOURNAL ARTICLE published April 2021 in Mathematical Methods of Operations Research

Research funded by Fapesp (2014/50279-4,2014/50851-0) | Conselho Nacional de Desenvolvimento Científico e Tecnológico (304149/2019-5)

Authors: O. L. V. Costa | F. Dufour

https://doi.org/10.1007/s00186-020-00732-8 Actions
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