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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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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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A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
Hernández-Hernández, Daniel; Schied, Alexander - 2006
SFB 649 Discussion Paper 2006-061 A Control Approach to Robust Utility Maximization with Logarithmic Utility and Time-Consistent Penalties Daniel Hernández–Hernández* Alexander Schied** * Centro de Investigación en Matemáticas, Guanajuato, Mexico **...
Persistent link: https://www.econbiz.de/10004875350
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A characterization of the optimal certainty equivalent of the average cost via the Arrow-Pratt sensitivity function
Cavazos-Cadena, Rolando; Hernández Hernández, Daniel - In: Mathematics of operations research 41 (2016) 1, pp. 224-235
Persistent link: https://www.econbiz.de/10011448358