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A characterization of exponential functionals in finite Markov chains
Cavazos-Cadena, Rolando; Hernández-Hernández, Daniel - In: Mathematical methods of operations research 60 (2004) 3, pp. 399-414
Persistent link: https://www.econbiz.de/10006608062
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Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
Bielecki, Tomasz; Hernández-Hernández, Daniel; … - In: Mathematical methods of operations research 50 (1999) 2, pp. 167-188
Persistent link: https://www.econbiz.de/10006626467
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Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
Bielecki, Thomas; Hernández-Hernández, Daniel; … - In: Mathematical methods of operations research 50 (1999) 2, pp. 167-188
Persistent link: https://www.econbiz.de/10001428073
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An optimal investment strategy with maximal risk aversion and its ruin probability
Fernández, Begoña; Hernández-Hernández, Daniel; … - In: Mathematical methods of operations research 68 (2008) 1, pp. 159-180
Persistent link: https://www.econbiz.de/10008086258
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Solution to the risk-sensitive average optimality equation in communicating Markov decision chains with finite state space : an alternative approach
Cavazos-Cadena, Rolando; Hernández-Hernández, Daniel - In: Mathematical methods of operations research 56 (2002) 3, pp. 473-479
Persistent link: https://www.econbiz.de/10001725939
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An optimal investment strategy with maximal risk aversion and its ruin probability
Fernández, Begoña; Hernández-Hernández, Daniel; … - In: Mathematical methods of operations research 68 (2008) 1, pp. 159-179
Persistent link: https://www.econbiz.de/10003748390
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Robust optimal control for a consumption-investment problem
Schied, Alexander - In: Mathematical methods of operations research 67 (2008) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10003643526
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Robust optimal control for a consumption-investment problem
Schied, Alexander - In: Mathematical methods of operations research 67 (2008) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10007900578