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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

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

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

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

Variance minimization and the overtaking optimality approach to continuous-time controlled Markov chains

JOURNAL ARTICLE published December 2009 in Mathematical Methods of Operations Research

Authors: Tomás Prieto-Rumeau | Onésimo Hernández-Lerma

https://doi.org/10.1007/s00186-008-0276-z 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

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 Asset Management: Two Empirical Examples

BOOK CHAPTER published 2001 in Mathematical Finance

Authors: T. Bielecki | A. Harris | J. Li | S. Pliska

https://doi.org/10.1007/978-3-0348-8291-0_9 Actions

Markov control processes with randomized discounted cost

JOURNAL ARTICLE published 15 February 2007 in Mathematical Methods of Operations Research

Authors: Juan González-Hernández | Raquiel R. López-Martínez | J. Rubén Pérez-Hernández

https://doi.org/10.1007/s00186-006-0092-2 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

Risk Sensitive Asset Management With Constrained Trading Strategies

PROCEEDINGS ARTICLE published December 2001 in Recent Developments in Mathematical Finance

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

https://doi.org/10.1142/9789812799579_0011 Actions

Markov control processes with pathwise constraints

JOURNAL ARTICLE published June 2010 in Mathematical Methods of Operations Research

Authors: Armando F. Mendoza-Pérez | Onésimo Hernández-Lerma

https://doi.org/10.1007/s00186-010-0311-8 Actions

Risk-sensitive discounted cost criterion for continuous-time Markov decision processes on a general state space

JOURNAL ARTICLE published April 2022 in Mathematical Methods of Operations Research

Authors: Subrata Golui | Chandan Pal

https://doi.org/10.1007/s00186-022-00779-9 Actions

Bias and overtaking equilibria for zero-sum continuous-time Markov games

JOURNAL ARTICLE published July 2005 in Mathematical Methods of Operations Research

Authors: Tomás Prieto-Rumeau | Onésimo Hernández-Lerma

https://doi.org/10.1007/s001860400392 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

The Laurent series, sensitive discount and Blackwell optimality for continuous-time controlled Markov chains

JOURNAL ARTICLE published March 2005 in Mathematical Methods of Operations Research

Authors: Tom�s Prieto-Rumeau | On�simo Hern�ndez-Lerma

https://doi.org/10.1007/s001860400393 Actions

The stochastic shortest-path problem for Markov chains with infinite state space with applications to nearest-neighbor lattice chains

JOURNAL ARTICLE published April 2013 in Mathematical Methods of Operations Research

Authors: Daniel Lücking | Wolfgang Stadje

https://doi.org/10.1007/s00186-013-0427-8 Actions

Realism and practicality of transaction cost approaches in continuous-time portfolio optimisation: the scope of the Morton-Pliska approach

JOURNAL ARTICLE published October 2004 in Mathematical Methods of Operational Research

Authors: Ralf Korn

https://doi.org/10.1007/s001860400359 Actions

Graph-Theoretic Analysis of Finite Markov Chains

BOOK CHAPTER published 11 November 1999 in Discrete Mathematics and Its Applications

Authors: J Jarvis | D Shier

https://doi.org/10.1201/9781420050042.ch13 Actions

Finite-state approximations for denumerable multidimensional state discounted Markov decision processes

JOURNAL ARTICLE published February 1986 in Journal of Mathematical Analysis and Applications

Authors: Onésimo Hernández-Lerma

https://doi.org/10.1016/0022-247x(86)90311-2 Actions
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