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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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Value iteration and approximately optimal stationary policies in finite-state average Markov decision chains
Cavazos-Cadena, Rolando; Cavazos-Cadena, Rolando - In: Mathematical methods of operations research 56 (2002) 2, pp. 181-196
Persistent link: https://www.econbiz.de/10006615399
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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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An optimal consumption model with stochastic volatility
Fleming, Wendell H.; Hernández-Hernández, Daniel - In: Finance and stochastics 7 (2003) 2, pp. 245-262
Persistent link: https://www.econbiz.de/10008215827
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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 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. 263-286
Persistent link: https://www.econbiz.de/10006613757
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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. 63-100
Persistent link: https://www.econbiz.de/10006619158
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Nearly optimal policies in risk-sensitive positive dynamic programming on discrete spaces
Cavazos-Cadena, Rolando; Montes-de-Oca, Raul - In: Mathematical methods of operations research 52 (2000) 1, pp. 133
Persistent link: https://www.econbiz.de/10006623098
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Nearly optimal stationary policies in negative dynamic programming m
Cavazos-Cadena, Rolando; Montes-De-Oca, Raul - In: Mathematical methods of operations research 49 (1999) 3, pp. 441-456
Persistent link: https://www.econbiz.de/10006627015
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Controlled Markov chains with risk-sensitive criteria: Average cost, optimality equations, and optimal solutions
Cavazos-Cadena, Rolando; Fernández-Gaucherand, Emmanuel - In: Mathematical methods of operations research 49 (1999) 2, pp. 299-324
Persistent link: https://www.econbiz.de/10006627411