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

Risk Sensitive Control with Applications to Fixed Income Portfolio Management

BOOK CHAPTER published 2001 in European Congress of Mathematics

Authors: Tomasz R. Bielecki | Stanley R. Pliska

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

Value iteration for controlled Markov chains with risk sensitive cost criterion

PROCEEDINGS ARTICLE published in Proceedings of the 38th IEEE Conference on Decision and Control (Cat. No.99CH36304)

Authors: T. Bielecki | D. Hernandez-Hernandez | S.R. Pliska

Risk-sensitive and minimax control of discrete-time, finite-state Markov decision processes

JOURNAL ARTICLE published February 1999 in Automatica

Authors: Stefano P. Coraluppi | Steven I. Marcus

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

Discounted Approximations for Risk-Sensitive Average Criteria in Markov Decision Chains with Finite State Space

JOURNAL ARTICLE published February 2011 in Mathematics of Operations Research

Authors: Rolando Cavazos-Cadena | Daniel Hernández-Hernández

Discrete-Time, Finite-State Markov Chains

BOOK CHAPTER published 9 February 2015 in Markov Processes

Further Topics on Discrete-Time Markov Control Processes

BOOK published 1999

Authors: Onésimo Hernández-Lerma | Jean Bernard Lasserre

Finite-State, Discrete-Time Markov Chains

DATASET published in Wolfram Demonstrations Project

Finite-State, Discrete-Time Markov Chains

DATASET published in Wolfram Demonstrations Project

A characterization of the optimal risk-sensitive average cost in finite controlled Markov chains

JOURNAL ARTICLE published 1 February 2005 in The Annals of Applied Probability

Authors: Rolando Cavazos-Cadena | Daniel Hernández-Hernández

Finite-Horizon Problems

BOOK CHAPTER published 1996 in Discrete-Time Markov Control Processes

Authors: Onésimo Hernández-Lerma | Jean Bernard Lasserre

Risk-Sensitive Control of Finite State Machines on an Infinite Horizon II

JOURNAL ARTICLE published January 1999 in SIAM Journal on Control and Optimization

Authors: Wendell H. Fleming | Daniel Hernández-Hernández

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

Economic Properties of the Risk Sensitive Criterion for Portfolio Management

JOURNAL ARTICLE published 1 February 2003 in Review of Accounting and Finance

Authors: Tomasz R. Bielecki | Stanley R. Pliska

The Linear Programming Formulation

BOOK CHAPTER published 1996 in Discrete-Time Markov Control Processes

Authors: Onésimo Hernández-Lerma | Jean Bernard Lasserre

Vanishing discount approximations in controlled Markov chains with risk-sensitive average criterion

JOURNAL ARTICLE published March 2018 in Advances in Applied Probability

Authors: Rolando Cavazos-Cadena | Daniel Hernández-Hernández

Undiscounted Cost Criteria

BOOK CHAPTER published 1999 in Further Topics on Discrete-Time Markov Control Processes

Authors: Onésimo Hernández-Lerma | Jean Bernard Lasserre

Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation

JOURNAL ARTICLE published January 2005 in SIAM Journal on Control and Optimization

Authors: Tomasz R. Bielecki | Stanley R. Pliska | Shuenn-Jyi Sheu