| Publication | Date of Publication | Type |
|---|
Markov decision processes under ambiguity
Banach Center Publications | 2021-05-20 | Paper |
Partially Observable Risk-Sensitive Markov Decision Processes
Mathematics of Operations Research | 2017-12-07 | Paper |
Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
IEEE Transactions on Automatic Control | 2017-07-12 | Paper |
Financial mathematics in discrete time
Springer-Lehrbuch Masterclass | 2017-04-20 | Paper |
Partially Observable Risk-Sensitive Stopping Problems in Discrete Time
| 2017-03-28 | Paper |
Zero-sum risk-sensitive stochastic games
Stochastic Processes and their Applications | 2016-12-27 | Paper |
Dynamic optimization. Deterministic and stochastic models
Universitext | 2016-10-27 | Paper |
Customer scheduling with incomplete information
Probability in the Engineering and Informational Sciences | 2016-05-11 | Paper |
More risk-sensitive Markov decision processes
Mathematics of Operations Research | 2014-07-11 | Paper |
On optimal terminal wealth problems with random trading times and drawdown constraints
Advances in Applied Probability | 2014-05-09 | Paper |
Robust consumption-investment problems with random market coefficients
Mathematics and Financial Economics | 2013-02-26 | Paper |
Control improvement for jump-diffusion processes with applications to finance
Applied Mathematics and Optimization | 2012-07-10 | Paper |
Markov decision processes with applications to finance.
Universitext | 2011-02-17 | Paper |
Markov decision processes
Jahresbericht der Deutschen Mathematiker-Vereinigung (DMV) | 2011-01-10 | Paper |
MDP algorithms for portfolio optimization problems in pure jump markets
Finance and Stochastics | 2010-04-22 | Paper |
Optimal control of Markovian jump processes with partial information and applications to a parallel queueing model
Mathematical Methods of Operations Research | 2009-12-11 | Paper |
PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS
Mathematical Finance | 2007-10-29 | Paper |
Average optimality for continuous-time Markov decision processes in Polish spaces
The Annals of Applied Probability | 2007-08-08 | Paper |
Comparison Results for Markov-Modulated Recursive Models
Probability in the Engineering and Informational Sciences | 2006-09-22 | Paper |
Stochastic control problems with delay
Mathematical Methods of Operations Research | 2006-01-23 | Paper |
Portfolio optimization with unobservable Markov-modulated drift process
Journal of Applied Probability | 2005-10-18 | Paper |
Optimal control of arrivals in tandem queues of constant service time
Mathematical Methods of Operations Research | 2003-07-15 | Paper |
Optimal control of single-server fluid networks
Queueing Systems | 2000-11-22 | Paper |
Optimal scheduling in heterogeneous two-station queueing networks
Mathematical Methods of Operations Research | 2000-01-18 | Paper |
scientific article; zbMATH DE number 1258324 (Why is no real title available?)
| 1999-03-09 | Paper |
Markov games with incomplete information
Mathematical Methods of Operations Research | 1997-12-10 | Paper |
scientific article; zbMATH DE number 934841 (Why is no real title available?)
| 1996-10-14 | Paper |
Monotonicity and bounds for convex stochastic control models
ZOR Zeitschrift f� Operations Research Methods and Models of Operations Research | 1994-06-19 | Paper |
Optimal control of single-server queueing networks
ZOR - Methods and Models of Operations Research | 1993-08-23 | Paper |
Structural results for partially observed control models
ZOR Zeitschrift f�r Operations Research Methods and Models of Operations Research | 1992-06-27 | Paper |
scientific article; zbMATH DE number 18895 (Why is no real title available?)
| 1992-06-26 | Paper |
Structured policies in the sequential design of experiments
Annals of Operations Research | 1992-06-25 | Paper |
On Bayesian group sequential sampling procedures
Annals of Operations Research | 1992-06-25 | Paper |
scientific article; zbMATH DE number 3659330 (Why is no real title available?)
| 1979-01-01 | Paper |
Measurable selection theorems for optimization problems
Manuscripta Mathematica | 1978-01-01 | Paper |
On Howard's policy improvement method
Mathematische Operationsforschung und Statistik. Series Optimization | 1977-01-01 | Paper |
On optimal policies and martingales in dynamic programming
Journal of Applied Probability | 1976-01-01 | Paper |
scientific article; zbMATH DE number 3531204 (Why is no real title available?)
| 1976-01-01 | Paper |
Bayesian dynamic programming
Advances in Applied Probability | 1975-01-01 | Paper |
On stopped decision processes with discrete time parameter
Stochastic Processes and their Applications | 1975-01-01 | Paper |
