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Semi-Markov decision processes with variance minimization criterion

Wei, Qingda; Guo, Xianping - In: 4OR : a quarterly journal of operations research 13 (2015) 1, pp. 59-79

Persistent link: https://www.econbiz.de/10010504956

Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences

Chen, Shumin; Wang, Xi; Deng, Yinglu; Zeng, Yan - In: Insurance / Mathematics & economics 67 (2016), pp. 27-37

Persistent link: https://www.econbiz.de/10011457145

Convex analytic approach to constrained discounted Markov decision processes with non-constant discount factors

Zhang, Yi - In: Top : transactions in operations research 21 (2013) 2, pp. 378-408

Persistent link: https://www.econbiz.de/10009761252

Complexity bounds for approximately solving discounted MDPs by value iterations

Feinberg, Eugene A.; He, Gaojin - In: Operations research letters 48 (2020) 5, pp. 543-548

Persistent link: https://www.econbiz.de/10012303405

A theory of Markovian time-inconsistent stochastic control in discrete time

Björk, Tomas; Murgoci, Agatha - In: Finance and stochastics 18 (2014) 3, pp. 545-592

Persistent link: https://www.econbiz.de/10010396002

Discrete-time control with non-constant discount factor

Jasso-Fuentes, Héctor; Menaldi, José-Luis; … - In: Mathematical methods of operations research : ZOR 92 (2020) 2, pp. 377-399

Persistent link: https://www.econbiz.de/10012395581

Kantian Optimization With Quasi-hyperbolic Discounting

Borissov, Kirill; Pakhnin, Mikhail; Wendner, Ronald - 2022

We consider a neoclassical growth model with quasi-hyperbolic discounting under Kantian optimization: each temporal …

Persistent link: https://www.econbiz.de/10014082673

Geometric Discounting in Discrete, Infinite-Horizon Choice Problems

Kochov, Asen - 2016

underlying preference order, provided that the decision-maker is sufficiently patient. Under the same conditions, the utility …

Persistent link: https://www.econbiz.de/10013001522

Solving Semi-Linear Risky-Closeout PDE by Discount Boundary Optimization

Piterbarg, Vladimir - 2015

We consider a non-linear PDE that appears in a number of contexts including a one-way CSA, CVA with risky closeout, option pricing with differential borrowing and lending rates, accounting-consistent valuation, and constrained cash supply. We show that its solution is given as the minimum of...

Persistent link: https://www.econbiz.de/10013028292

Extreme events, discounting and stochastic optimization

Ermolʹev, Jurij M.; Ermol'eva, Tatiana Y.; Fischer, … - 2010

Persistent link: https://www.econbiz.de/10003983872