Successive Approximations for Finite Horizon, Semi-Markov Decision Processes with Application to Asset Liquidation
From MaRDI portal
Publication:3760316
DOI10.1287/opre.34.4.638zbMath0622.90089MaRDI QIDQ3760316
Publication date: 1986
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.34.4.638
90C40: Markov and semi-Markov decision processes
Related Items
Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks, First Passage Exponential Optimality Problem for Semi-Markov Decision Processes, Risk-sensitive semi-Markov decision processes with general utilities and multiple criteria, Finite horizon semi-Markov decision processes with application to maintenance systems, Performance analysis for controlled semi-Markov systems with application to maintenance, Semi-Markov information model for revenue management and dynamic pricing, Mean-variance problems for finite horizon semi-Markov decision processes, A minimization problem of the risk probability in first passage semi-Markov decision processes with loss rates, Optimal dynamic pricing of perishable products with stochastic demand and a finite set of prices, Constrained optimality for finite horizon semi-Markov decision processes in Polish spaces, Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions, A risk minimization problem for finite horizon semi-Markov decision processes with loss rates, Optimal liquidation problem in illiquid markets, On the single-leg airline revenue management problem in continuous time, Minimum Average Value-at-Risk for Finite Horizon Semi-Markov Decision Processes in Continuous Time
