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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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Adaptive control of average Markov decision chains under the Lyapunov stability condition
Cavazos-Cadena, Rolando - In: Mathematical methods of operations research 54 (2001) 1, pp. 63-99
Persistent link: https://www.econbiz.de/10001628092
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Solution to the risk-sensitive average cost optimality equation in a class of Markov decision processes with finite state space
Cavazos-Cadena, Rolando - In: Mathematical methods of operations research 57 (2003) 2, pp. 263-285
Persistent link: https://www.econbiz.de/10001752193
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Value iteration and approximately optimal stationary policies in finite-state average Markov decision chains
Cavazos-Cadena, Rolando - In: Mathematical methods of operations research 56 (2002) 2, pp. 181-196
Persistent link: https://www.econbiz.de/10001717532
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Optimality equations and inequalities in a class of risk-sensitive average cost Markov decision chains
Cavazos-Cadena, Rolando - In: Mathematical methods of operations research 71 (2010) 1, pp. 47-84
Persistent link: https://www.econbiz.de/10003958339
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Solutions of the average cost optimality equation for finite Markov decision chains: risk-sensitive and risk-neutral criteria
Cavazos-Cadena, Rolando - In: Mathematical methods of operations research 70 (2009) 3, pp. 541-566
Persistent link: https://www.econbiz.de/10003909304
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Characterization of the optimal risk-sensitive average cost in denumerable Markov decision chains
Cavazos-Cadena, Rolando - In: Mathematics of operations research 43 (2018) 3, pp. 1025-1050
Persistent link: https://www.econbiz.de/10011914392
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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 consumption model with stochastic volatility
Fleming, Wendell Helms; Hernández-Hernández, Daniel - In: Finance and stochastics 7 (2003) 2, pp. 245-262
Persistent link: https://www.econbiz.de/10001762755
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Efficient hedging of European options with robust convex loss functionals : a dual-representation formula
Hernández-Hernández, Daniel; Treviño Aguilar, Erick - In: Mathematical finance : an international journal of … 21 (2011) 1, pp. 99-115
Persistent link: https://www.econbiz.de/10008935700