Variance minimization and the overtaking optimality approach to continuous-time controlled Markov chains
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Cites work
- scientific article; zbMATH DE number 4031437 (Why is no real title available?)
- A survey of recent results on continuous-time Markov decision processes (with comments and rejoinder)
- Benchmark and mean-variance problems for insurers
- Bias Optimality for Continuous-Time Controlled Markov Chains
- Blackwell optimality in the class of Markov policies for continuous-time controlled Markov chains
- Continuous-time controlled Markov chains with discounted rewards
- Drift and monotonicity conditions for continuous-time controlled markov chains with an average criterion
- Ergodic Control of Continuous-Time Markov Chains with Pathwise Constraints
- Existence and regularity of a nonhomogeneous transition matrix under measurability conditions
- Existence of Markov Controls and Characterization of Optimal Markov Controls
- Exponential and uniform ergodicity of Markov processes
- Occupation measures for controlled Markov processes: Characterization and optimality
- On the functional central limit theorem and the law of the iterated logarithm for Markov processes
- Sample-Path Optimality and Variance-Minimization of Average Cost Markov Control Processes
- The Laurent series, sensitive discount and Blackwell optimality for continuous-time controlled Markov chains
- The scalarization approach to multiobjective Markov control problems: \textit{Why} does it work?
Cited in
(13)- Optimal ergodic control of Markov diffusion processes with minimum variance
- First passage optimality and variance minimisation of Markov decision processes with varying discount factors
- A mean-variance optimization problem for discounted Markov decision processes
- A survey of recent results on continuous-time Markov decision processes (with comments and rejoinder)
- Finite horizon continuous-time Markov decision processes with mean and variance criteria
- Minimum average value-at-risk for finite horizon semi-Markov decision processes in continuous time
- Bias and Overtaking Optimality for Continuous-Time Jump Markov Decision Processes in Polish Spaces
- Asymptotic normality of discrete-time Markov control processes
- Mean-variance problems for finite horizon semi-Markov decision processes
- Overtaking optimality for controlled Markov-modulated diffusions
- Variance-minimization of Markov control processes with pathwise constraints
- Risk-sensitive control of continuous time Markov chains
- Variance minimization for continuous-time Markov decision processes: two approaches
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