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

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

Existence of Risk-Sensitive Optimal Stationary Policies for Controlled Markov Processes

JOURNAL ARTICLE published 19 November 1999 in Applied Mathematics and Optimization

Authors: D. Hernández-Hernández

Graph-Theoretic Analysis of Finite Markov Chains

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

Authors: J Jarvis | D Shier

Selected Topics on Continuous-Time Controlled Markov Chains and Markov Games

MONOGRAPH published 2012 in ICP Advanced Texts in Mathematics

Authors: Tomás Prieto-Rumeau | Onésimo Hernández-Lerma

Selected Topics on Continuous-Time Controlled Markov Chains and Markov Games

MONOGRAPH published March 2012 in ICP Advanced Texts in Mathematics

Authors: Tomás Prieto-Rumeau | Onésimo Hernández-Lerma

Discrete-Time Markov Chains

BOOK CHAPTER published 2018 in Springer Undergraduate Mathematics Series

Authors: Nicolas Privault

Discrete-Time Markov Models

BOOK CHAPTER published 1999 in Texts in Applied Mathematics

Authors: Pierre Brémaud

Ergodic Control of a Singularly Perturbed Markov Process in Discrete Time with General State and Compact Action Spaces

JOURNAL ARTICLE published 1 November 1998 in Applied Mathematics and Optimization

Authors: T. R. Bielecki

Connection between Markov chains on finite simple groups and fundamental groups

JOURNAL ARTICLE published 1 July 2006 in Discrete Mathematics and Applications

Authors: I. A. Kruglov

Connection between Markov chains on finite simple groups and fundamental groups

JOURNAL ARTICLE published 1 January 2006 in Discrete Mathematics and Applications

Authors: I. A. Kruglov

Risk-Sensitive and Risk-Neutral Control for Continuous-Time Hidden Markov Models

JOURNAL ARTICLE published 1 January 1996 in Applied Mathematics and Optimization

Risk-Sensitive Dynamic Asset Management

JOURNAL ARTICLE published 6 May 1999 in Applied Mathematics and Optimization

Authors: T. R. Bielecki

Discrete-Time Markov Chains

BOOK CHAPTER published 2013 in Springer Undergraduate Mathematics Series

Authors: Nicolas Privault

Optimal portfolio management with consumption

OTHER published 2004 in Contemporary Mathematics

Authors: Netzahualcóyotl Castañeda-Leyva | Daniel Hernández-Hernández

Upper Bounds on Mixing Time of Finite Markov Chains

JOURNAL ARTICLE published December 2022 in SIAM Journal on Discrete Mathematics

Research funded by National Science Foundation (DMS-1760329,DMS-1764153,DMS-205335) | Vetenskapsrådet (2016-06596)

Authors: John Rhodes | Anne Schilling

The State Reduction and Related Algorithms and Their Applications to the Study of Markov Chains, Graph Theory, and the Optimal Stopping Problem

JOURNAL ARTICLE published August 1999 in Advances in Mathematics

Authors: Isaac Sonin

The Value Iteration Algorithm in Risk-Sensitive Average Markov Decision Chains with Finite State Space

JOURNAL ARTICLE published November 2003 in Mathematics of Operations Research

Authors: Rolando Cavazos-Cadena | Raúl Montes-de-Oca

Continuous-Time Markov Chains

BOOK CHAPTER published 2013 in Springer Undergraduate Mathematics Series

Authors: Nicolas Privault

Markov chains on finite groups II (arbitrary groups)

BOOK CHAPTER published 2000 in Introduction to Markov Chains

Authors: Ehrhard Behrends