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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

Robust maximization of consumption with logarithmic utility

Hernández-Hernández, Daniel (contributor); … - 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/10003633826

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

Discounted approximations in risk-sensitive average Markov cost chains with finite state space

Blancas-Rivera, Rubén; Cavazos-Cadena, Rolando; … - In: Mathematical methods of operations research : ZOR 91 (2020) 2, pp. 241-268

Persistent link: https://www.econbiz.de/10012229529