This paper studies the discrete time Markov decision processes (MDP) with expected discounted total reward, where the state space is countable, the action space is measurable, the reward function is extended real-valued, and the discount rate may be any real number. Two conditions (GC) and (C)...

We study controlled Markov chains with denumerable state space and bounded costs per stage. A (long-run) risk-sensitive average cost criterion, associated to an exponential utility function with a constant risk sensitivity coefficient, is used as a performance measure. The main assumption on the...

In the paper we present a method of simulation of ruin probability over infinite horizon for fractional Brownian motion with parameter of self-similarity H ½. We derive some theoretical results which show how fast the method works. As an application of our method we numerically compute the...

Kalai and Zemel introduced a class of flow-games showing that these games have a non-empty core and that a minimum cut corresponds to a core allocation.  We consider flow-games with a finite number of players on a network with infinitely many arcs: assuming that the total sum of the capacities...

We consider a market where the price of the risky asset follows a stochastic volatility model, but can be observed only at discrete random time points. We determine a local risk minimizing hedging strategy, assuming that the information of the agent is restricted to the observations of the price...

We report on a joint project with industry that had the aim to sequence transportation requests within an automatic storage system in such a way that the overall travel time is minimized. The manufacturing environment is such that scheduling decisions have to be made before all jobs are known....