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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) |
A characterization of exponential functionals in finite Markov chains JOURNAL ARTICLE published December 2004 in Mathematical Methods of Operational Research |
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) |
Discounted approximations in risk-sensitive average Markov cost chains with finite state space JOURNAL ARTICLE published April 2020 in Mathematical Methods of Operations Research |
Variance minimization and the overtaking optimality approach to continuous-time controlled Markov chains JOURNAL ARTICLE published December 2009 in Mathematical Methods of Operations Research |
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 |
Continuous-time Markov decision processes with risk-sensitive finite-horizon cost criterion JOURNAL ARTICLE published December 2016 in Mathematical Methods of Operations Research |
Risk Sensitive Asset Management: Two Empirical Examples BOOK CHAPTER published 2001 in Mathematical Finance |
Markov control processes with randomized discounted cost JOURNAL ARTICLE published 15 February 2007 in Mathematical Methods of Operations Research |
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) |
Risk Sensitive Asset Management With Constrained Trading Strategies PROCEEDINGS ARTICLE published December 2001 in Recent Developments in Mathematical Finance |
Markov control processes with pathwise constraints JOURNAL ARTICLE published June 2010 in Mathematical Methods of Operations Research |
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 |
Bias and overtaking equilibria for zero-sum continuous-time Markov games JOURNAL ARTICLE published July 2005 in Mathematical Methods of Operations Research |
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 |
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 |
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 |
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 |
Graph-Theoretic Analysis of Finite Markov Chains BOOK CHAPTER published 11 November 1999 in Discrete Mathematics and Its Applications |
Finite-state approximations for denumerable multidimensional state discounted Markov decision processes JOURNAL ARTICLE published February 1986 in Journal of Mathematical Analysis and Applications |