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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

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

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

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

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

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

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

Robust maximization of consumption with logarithmic utility

Hernández-Hernández, Daniel; Schied, Alexander - 2007

We anlyze the stochastic control approach to the dynamic maximization of the robust utility of consumption and investment. The robust utility functionals are defined in terms of logarithmic utility and a dynamically consisten convex risk measure. The underlying market is modeled by a diffusion...

Persistent link: https://www.econbiz.de/10010263687

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

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