Existence of risk-sensitive optimal stationary policies for controlled Markov processes
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Publication:1808696
DOI10.1007/S002459900126zbMATH Open0937.90115OpenAlexW2057338828MaRDI QIDQ1808696FDOQ1808696
Authors: Daniel Hernández-Hernández, Steven I. Marcus 
Publication date: 15 June 2000
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/1903/5847
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Cited In (31)
- Robust Markov control processes
- Risk-Sensitive Reinforcement Learning via Policy Gradient Search
- Vanishing discount approximations in controlled Markov chains with risk-sensitive average criterion
- Risk-sensitive average Markov decision processes in general spaces
- Stochastic minimax optimal time-delay state feedback control of uncertain quasi-integrable Hamiltonian systems
- A note on risk-sensitive control of invariant models
- Discrete-time zero-sum games for Markov chains with risk-sensitive average cost criterion
- Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
- A discounted approach in communicating average Markov decision chains under risk-aversion
- Local Poisson equations associated with the Varadhan functional
- Zero-sum risk-sensitive stochastic games
- Controlled semi-Markov chains with risk-sensitive average cost criterion
- Risk-sensitive semi-Markov decision processes with general utilities and multiple criteria
- A Poisson equation for the risk-sensitive average cost in semi-Markov chains
- Risk-sensitive average equilibria for discrete-time stochastic games
- Risk-Sensitive Average Optimality for Discrete-Time Markov Decision Processes
- Characterization of the optimal risk-sensitive average cost in denumerable Markov decision chains
- Risk-Sensitive Optimal Control for Markov Decision Processes with Monotone Cost
- Portfolio optimization in stochastic markets
- The discounted method and equivalence of average criteria for risk-sensitive Markov decision processes on Borel spaces
- Risk-sensitive control of reflected diffusion processes on orthrant
- Portfolio selection in stochastic markets with exponential utility functions
- The vanishing discount approach in a class of zero-sum finite games with risk-sensitive average criterion
- Optimal policy for minimizing risk models in Markov decision processes
- Optimal stationary policies inrisk-sensitive dynamic programs with finite state spaceand nonnegative rewards
- Zero-sum risk-sensitive stochastic games on a countable state space
- Computational methods for risk-averse undiscounted transient Markov models
- Optimality equations and inequalities in a class of risk-sensitive average cost Markov decision chains
- Average optimality for risk-sensitive control with general state space
- Markov decision processes with risk-sensitive criteria: an overview
- An optimality system for finite average Markov decision chains under risk-aversion
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