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Controlled Markov chains with risk-sensitive criteria: Average cost, optimality equations, and optimal solutions

JOURNAL ARTICLE published April 1999 in Mathematical Methods of Operations Research

Authors: Rolando Cavazos-Cadena | Emmanuel Fernández-Gaucherand

https://doi.org/10.1007/pl00020919 Actions

Solution to the risk-sensitive average optimality equation in communicating Markov decision chains with finite state space: An alternative approach

JOURNAL ARTICLE published 1 January 2003 in Mathematical Methods of Operations Research (ZOR)

Authors: Rolando Cavazos-Cadena | Daniel Hernández-Hernández

https://doi.org/10.1007/s001860200229 Actions

A characterization of exponential functionals in finite Markov chains

JOURNAL ARTICLE published December 2004 in Mathematical Methods of Operational Research

Authors: Rolando Cavazos–Cadena | Daniel Hernández–Hernández

https://doi.org/10.1007/s001860400373 Actions

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

https://doi.org/10.1007/s00186-008-0277-y Actions

Discounted approximations to the risk-sensitive average cost in finite Markov chains

JOURNAL ARTICLE published June 2017 in Journal of Mathematical Analysis and Applications

Authors: Rolando Cavazos-Cadena | Daniel Cruz-Suárez

https://doi.org/10.1016/j.jmaa.2017.01.084 Actions

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

https://doi.org/10.1007/s00186-019-00689-3 Actions

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

https://doi.org/10.1007/s00186-009-0285-6 Actions

Value iteration and approximately optimal stationary policies in finite-state average Markov decision chains

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

Authors: Rolando Cavazos-Cadena | Rolando Cavazos-Cadena

https://doi.org/10.1007/s001860200205 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

Solution to the risk-sensitive average cost optimality equation in a class of Markov decision processes with finite state space

JOURNAL ARTICLE published 1 May 2003 in Mathematical Methods of Operations Research (ZOR)

Authors: Rolando Cavazos-Cadena

https://doi.org/10.1007/s001860200256 Actions

Denumerable controlled Markov chains with strong average optimality criterion: Bounded & unbounded costs

JOURNAL ARTICLE published October 1996 in Mathematical Methods of Operations Research

Authors: Rolando Cavazos-Cadena | Emmanuel Fern�ndez-Gaucherand

https://doi.org/10.1007/bf01194549 Actions

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

https://doi.org/10.1007/s00186-023-00825-0 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

Exact and approximate Nash equilibria in discounted Markov stopping games with terminal redemption

JOURNAL ARTICLE published January 2016 in Journal of Mathematical Analysis and Applications

Research funded by PSF (1-450-12) | PRODEP (17332-UAAAN-CA-23)

Authors: Rolando Cavazos-Cadena | Daniel Hernández-Hernández

https://doi.org/10.1016/j.jmaa.2015.07.045 Actions

Adaptive control of average Markov decision chains under the Lyapunov stability condition

JOURNAL ARTICLE published 1 October 2001 in Mathematical Methods of Operations Research (ZOR)

Authors: Rolando Cavazos-Cadena

https://doi.org/10.1007/s001860100138 Actions

Denumerable controlled Markov chains with average reward criterion: Sample path optimality

JOURNAL ARTICLE published February 1995 in ZOR Zeitschrift f�r Operations Research Mathematical Methods of Operations Research

Authors: Rolando Cavazos-Cadena | Emmanuel Fern�ndez-Gaucherand

https://doi.org/10.1007/bf01415067 Actions

CONTROLLED FINITE HOMOGENEOUS MARKOV CHAINS

BOOK CHAPTER published December 2005 in Mathematical Theory of Adaptive Control

https://doi.org/10.1142/9789812701039_0005 Actions

Functions of Finite Markov Chains

JOURNAL ARTICLE published February 1967 in The Annals of Mathematical Statistics

Authors: Frederick W. Leysieffer

https://doi.org/10.1214/aoms/1177699072 Actions

Asymptotically Optimal Tests for Finite Markov Chains

JOURNAL ARTICLE published December 1971 in The Annals of Mathematical Statistics

Authors: Luis B. Boza

https://doi.org/10.1214/aoms/1177693067 Actions

A Variational Characterization of Finite Markov Chains

JOURNAL ARTICLE published February 1972 in The Annals of Mathematical Statistics

Authors: Frank Spitzer

https://doi.org/10.1214/aoms/1177692723 Actions
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