DOI10.1007/978-3-642-18324-9zbMath1236.90004OpenAlexW368265031MaRDI QIDQ626374
Ulrich Rieder, Nicole Bäuerle
Publication date: 17 February 2011
Published in: Universitext (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-18324-9
Risk measurement and risk-averse control of partially observable discrete-time Markov systems,
Optimal consumption, investment and housing with means-tested public pension in retirement,
Nonzero-sum constrained discrete-time Markov games: the case of unbounded costs,
LP based upper and lower bounds for Cesàro and Abel limits of the optimal values in problems of control of stochastic discrete time systems,
An algorithmic approach to optimal asset liquidation problems,
The Expected Total Cost Criterion for Markov Decision Processes under Constraints: A Convex Analytic Approach,
On the Optimal Dividend Strategy in a Regime-Switching Diffusion Model,
Exact and approximate hidden Markov chain filters based on discrete observations,
Finite horizon continuous-time Markov decision processes with mean and variance criteria,
Unbounded dynamic programming via the Q-transform,
Controlled semi-Markov chains with risk-sensitive average cost criterion,
Algorithms for Optimal Control of Stochastic Switching Systems,
Lending decisions with limits on capital available: the polygamous marriage problem,
A two-state partially observable Markov decision process with three actions,
Discounted stochastic games for continuous-time jump processes with an uncountable state space,
A sojourn-based approach to semi-Markov reinforcement learning,
First passage risk probability minimization for piecewise deterministic Markov decision processes,
Optimal stopping time on semi-Markov processes with finite horizon,
Zero-sum continuous-time Markov pure jump game over a fixed duration,
Constrained continuous-time Markov decision processes on the finite horizon,
Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate,
A useful technique for piecewise deterministic Markov decision processes,
Markov Reward Models and Markov Decision Processes in Discrete and Continuous Time: Performance Evaluation and Optimization,
Markov decision processes with iterated coherent risk measures,
Discounted approximations to the risk-sensitive average cost in finite Markov chains,
High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model,
Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations,
Partially observed optimal stopping problem for discrete-time Markov processes,
Optimal control of infinite-dimensional piecewise deterministic Markov processes and application to the control of neuronal dynamics via optogenetics,
Optimal dividend payout model with risk sensitive preferences,
The stochastic shortest path problem: a polyhedral combinatorics perspective,
An online stochastic algorithm for a dynamic nurse scheduling problem,
Zero-sum games for continuous-time Markov jump processes with risk-sensitive finite-horizon cost criterion,
Sample-Path Optimal Stationary Policies in Stable Markov Decision Chains with the Average Reward Criterion,
First Passage Optimality and Variance Minimisation of Markov Decision Processes with Varying Discount Factors,
A concept of copula robustness and its applications in quantitative risk management,
On risk-sensitive piecewise deterministic Markov decision processes,
The risk probability criterion for discounted continuous-time Markov decision processes,
Discounted approximations in risk-sensitive average Markov cost chains with finite state space,
Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading,
Utility indifference pricing of insurance catastrophe derivatives,
Markov decision processes with average-value-at-risk criteria,
Stochastic optimal growth model with risk sensitive preferences,
An average-value-at-risk criterion for Markov decision processes with unbounded costs,
Nash equilibria for relative investors via no-arbitrage arguments,
Mean field Markov decision processes,
Stochastic switching for partially observable dynamics and optimal asset allocation,
A risk minimization problem for finite horizon semi-Markov decision processes with loss rates,
Change-point detection for piecewise deterministic Markov processes,
First-order sensitivity of the optimal value in a Markov decision model with respect to deviations in the transition probability function,
The role of information in system stability with partially observable servers,
Optimal stopping for partially observed piecewise-deterministic Markov processes,
Nonzero-sum risk-sensitive finite-horizon continuous-time stochastic games,
Optimal stopping for measure-valued piecewise deterministic Markov processes,
Optimal investment under transaction costs for an insurer,
A simplified stochastic optimization model for logistic dynamics with control-dependent carrying capacity,
Time-inconsistent risk-sensitive equilibrium for countable-stated Markov decision processes,
Convergence of probability measures and Markov decision models with incomplete information,
Stochastic dynamic programming with non-linear discounting,
Optimal dividend strategies in a delayed claim risk model with dividends discounted by stochastic interest rates,
Zero-sum Markov games with random state-actions-dependent discount factors: existence of optimal strategies,
Minimizing spectral risk measures applied to Markov decision processes,
Optimal liquidation under partial information with price impact,
Markov decision processes with recursive risk measures,
Optimal strategies for impulse control of piecewise deterministic Markov processes,
Constrained Markov decision processes in Borel spaces: from discounted to average optimality,
A Poisson equation for the risk-sensitive average cost in semi-Markov chains,
Finite approximation of the first passage models for discrete-time Markov decision processes with varying discount factors,
Controlled Markov decision processes with AVaR criteria for unbounded costs,
Stochastic games for continuous-time jump processes under finite-horizon payoff criterion,
Finite approximation for finite-horizon continuous-time Markov decision processes,
Expected log-utility maximization under incomplete information and with Cox-process observations,
Worst-case portfolio optimization in discrete time,
An optimal reinsurance problem in the Cramér-Lundberg model,
Unnamed Item,
Markov decision processes with quasi-hyperbolic discounting,
A discounted approach in communicating average Markov decision chains under risk-aversion,
Risk sensitive optimal stopping,
Risk-sensitive dividend problems,
Zero-sum risk-sensitive stochastic games,
On the nonexplosion and explosion for nonhomogeneous Markov pure jump processes,
LEARNING AND PORTFOLIO DECISIONS FOR CRRA INVESTORS,
Risk-sensitive finite-horizon piecewise deterministic Markov decision processes,
Long-run risk sensitive dyadic impulse control,
Optimal stopping time on discounted semi-Markov processes,
Nash equilibria in a class of Markov stopping games with total reward criterion,
Contractive approximations in risk-sensitive average semi-Markov decision chains on a finite state space,
Unnamed Item,
Risk-sensitive optimal stopping with unbounded terminal cost function,
Mean-semivariance optimality for continuous-time Markov decision processes,
Analysis and computation of an optimality equation arising in an impulse control problem with discrete and costly observations,
Adaptive Robust Control under Model Uncertainty,
Existence of Nash equilibria in stochastic games of resource extraction with risk-sensitive players,
The Expected Total Cost Criterion for Markov Decision Processes under Constraints,
Numeraire portfolios and utility-based price systems under proportional transaction costs,
Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization,
Optimal consumption and investment problem with random horizon in a BMAP model,
Complete markets do not allow free cash flow streams,
Continuity of the optimal average cost in Markov decision chains with small risk-sensitivity,
Existence of compactly supported global minimisers for the interaction energy,
Portfolio management under drawdown constraint in discrete-time financial markets,
Risk-Sensitive Average Optimality for Discrete-Time Markov Decision Processes,
Strategy Complexity of Point Payoff, Mean Payoff and Total Payoff Objectives in Countable MDPs,
Risk-Sensitive Markov Decision Problems under Model Uncertainty: Finite Time Horizon Case,
Unnamed Item,
Minimum Average Value-at-Risk for Finite Horizon Semi-Markov Decision Processes in Continuous Time,
Minimizing capital injections by investment and reinsurance for a piecewise deterministic reserve process model,
A dividend optimization problem with constraint of survival probability in a Markovian environment model,
Risk-sensitive stopping problems for continuous-time Markov chains,
Finite-horizon piecewise deterministic Markov decision processes with unbounded transition rates,
SHORTFALL RISK MINIMIZATION UNDER FIXED TRANSACTION COSTS,
Markov Decision Processes with Incomplete Information and Semiuniform Feller Transition Probabilities,
Zero-sum infinite-horizon discounted piecewise deterministic Markov games,
Contractive approximations in average Markov decision chains driven by a risk-seeking controller,
Optimal dividend problems with a risk probability criterion,
Average criteria in denumerable semi-Markov decision chains under risk-aversion,
Unnamed Item,
Equivalent conditions for weak continuity of nonlinear filters,
Continuous-Time Markov Decision Processes with Exponential Utility,
Markov decision processes under model uncertainty,
Risk-sensitivity vanishing limit for controlled Markov processes,
Primal-Dual Regression Approach for Markov Decision Processes with General State and Action Spaces,
Characterization of the optimal average cost in Markov decision chains driven by a risk-seeking controller,
Multiconstrained Finite-Horizon Piecewise Deterministic Markov Decision Processes with Unbounded Transition Rates,
SOLUTIONS AND DIAGNOSTICS OF SWITCHING PROBLEMS WITH LINEAR STATE DYNAMICS,
The Vanishing Discount Approach in a class of Zero-Sum Finite Games with Risk-Sensitive Average Criterion,
Optimal Market Making under Partial Information with General Intensities,
Unnamed Item,
Long-Run Risk-Sensitive Impulse Control,
Algorithmic trading in a microstructural limit order book model,
Optimal market making in the presence of latency,
Optimal Control of Partially Observable Piecewise Deterministic Markov Processes,
On optimal stopping of risk processes with regime switching,
Average Cost Markov Decision Processes with Semi-Uniform Feller Transition Probabilities,
First Passage Exponential Optimality Problem for Semi-Markov Decision Processes,
Q-Learning for Distributionally Robust Markov Decision Processes,
On an Approach to Evaluation of Health Care Programme by Markov Decision Model,
On Optimal Terminal Wealth Problems with Random Trading Times and Drawdown Constraints,
Approximation methods for piecewise deterministic Markov processes and their costs,
Unnamed Item,
Unnamed Item,
Note on discounted continuous-time Markov decision processes with a lower bounding function,
Utility indifference pricing of derivatives written on industrial loss indices,
Vanishing discount approximations in controlled Markov chains with risk-sensitive average criterion,
Risk-sensitive semi-Markov decision processes with general utilities and multiple criteria,
Portfolio Optimization for a Large Investor Controlling Market Sentiment Under Partial Information,
Characterization of the Optimal Risk-Sensitive Average Cost in Denumerable Markov Decision Chains,
First passage risk probability optimality for continuous time Markov decision processes,
On the Complexity of Value Iteration,
Constrained Markov Decision Processes with Expected Total Reward Criteria,
Markov decision processes under ambiguity,
TIME-INCONSISTENT MARKOVIAN CONTROL PROBLEMS UNDER MODEL UNCERTAINTY WITH APPLICATION TO THE MEAN-VARIANCE PORTFOLIO SELECTION,
On the First Passage $g$-Mean-Variance Optimality for Discounted Continuous-Time Markov Decision Processes,
Dynamic reinsurance in discrete time minimizing the insurer's cost of capital,
Distributionally Robust Markov Decision Processes and Their Connection to Risk Measures,
Unnamed Item