Minimum Average Value-at-Risk for Finite Horizon Semi-Markov Decision Processes in Continuous Time (Q3465235): Difference between revisions

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-Yong-hui Huang
@@ Property / author: Yong-hui Huang / rank @@
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+Yong-hui Huang
@@ Property / author: Yong-hui Huang / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1137/140976029
@@ Property / full work available at URL: https://doi.org/10.1137/140976029 / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2269571484
@@ Property / OpenAlex ID: W2269571484 / rank @@
+Normal rank
@@ Property / cites work @@
+Credit risk optimization with conditional Value-at-Risk criterion
+Normal rank
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+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
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+Markov decision processes with applications to finance.
+Normal rank
@@ Property / cites work @@
+Markov decision processes with average-value-at-risk criteria
+Normal rank
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+Time consistent dynamic risk measures
@@ Property / cites work: Time consistent dynamic risk measures / rank @@
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+Two Types of Risk
@@ Property / cites work: Two Types of Risk / rank @@
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+A mean-variance optimization problem for discounted Markov decision processes
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+Average Optimality in Markov Control Processes via Discounted-Cost Problems and Linear Programming
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+Q4255598
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+Optimal risk probability for first passage models in semi-Markov decision processes
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+Finite horizon semi-Markov decision processes with application to maintenance systems
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+Vector-valued coherent risk measures
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+Successive Approximations for Finite Horizon, Semi-Markov Decision Processes with Application to Asset Liquidation
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+Q4001511
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+Variance minimization and the overtaking optimality approach to continuous-time controlled Markov chains
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+Dynamic coherent risk measures
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+Q4315289
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+Risk-averse dynamic programming for Markov decision processes
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+Mean-Variance Tradeoffs in an Undiscounted MDP
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