Existence of Risk-Sensitive Optimal Stationary Policies for Controlled Markov Processes

D. Hernández-Hernández

doi:10.1007/s002459900126

Existence of Risk-Sensitive Optimal Stationary Policies for Controlled Markov Processes

Applied Mathematics & Optimization ◽

10.1007/s002459900126 ◽

1999 ◽

Vol 40 (3) ◽

pp. 273-285 ◽

Cited By ~ 25

Author(s):

D. Hernández-Hernández

Keyword(s):

Markov Processes ◽

Risk Sensitive ◽

Controlled Markov Processes

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On weak conditions and optimality inequality solutions in risk-sensitive controlled Markov processes with average criterion

Proceedings of the 41st IEEE Conference on Decision and Control, 2002. ◽

10.1109/cdc.2002.1184709 ◽

2003 ◽

Author(s):

A. Brau-Rojas ◽

E. Fernandez-Gaucherand

Keyword(s):

Markov Processes ◽

Risk Sensitive ◽

Average Criterion ◽

Optimality Inequality ◽

Controlled Markov Processes

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Integro-differential optimality equations for the risk-sensitive control of piecewise deterministic Markov processes

Mathematical Methods of Operations Research ◽

10.1007/s00186-020-00732-8 ◽

2021 ◽

Author(s):

O. L. V. Costa ◽

F. Dufour

Keyword(s):

Markov Processes ◽

Risk Sensitive ◽

Piecewise Deterministic Markov Processes ◽

Risk Sensitive Control ◽

Optimality Equations

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Infinite horizon risk sensitive control of discrete time Markov processes with small risk

Systems & Control Letters ◽

10.1016/s0167-6911(99)00118-8 ◽

2000 ◽

Vol 40 (1) ◽

pp. 15-20 ◽

Cited By ~ 19

Author(s):

G.B.Di Masi ◽

Ł. Stettner

Keyword(s):

Markov Processes ◽

Discrete Time ◽

Infinite Horizon ◽

Small Risk ◽

Risk Sensitive ◽

Risk Sensitive Control

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Note on nonlinear semigroups and free boundary problem for controlled Markov processes

Banach Center Publications ◽

10.4064/-14-1-423-438 ◽

1985 ◽

Vol 14 (1) ◽

pp. 423-438

Author(s):

Makiko Nisio

Keyword(s):

Free Boundary ◽

Boundary Problem ◽

Markov Processes ◽

Free Boundary Problem ◽

Nonlinear Semigroups ◽

Controlled Markov Processes

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Controlled Markov Processes: Time-Discretization (N. M. Van Dijk)

SIAM Review ◽

10.1137/1029069 ◽

1987 ◽

Vol 29 (2) ◽

pp. 333-334

Author(s):

Daniel Ocone

Keyword(s):

Markov Processes ◽

Time Discretization ◽

Controlled Markov Processes

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Controlled Markov Processes With Safety State Constraints

IEEE Transactions on Automatic Control ◽

10.1109/tac.2018.2849556 ◽

2019 ◽

Vol 64 (3) ◽

pp. 1003-1018 ◽

Cited By ~ 3

Author(s):

Mahmoud El Chamie ◽

Yue Yu ◽

Behcet Acikmese ◽

Masahiro Ono

Keyword(s):

Markov Processes ◽

State Constraints ◽

Controlled Markov Processes

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On the Theory of Controlled Markov Processes

Theory of Probability and Its Applications ◽

10.1137/1122005 ◽

1977 ◽

Vol 22 (1) ◽

pp. 53-69 ◽

Cited By ~ 2

Author(s):

A. Barbarosie

Keyword(s):

Markov Processes ◽

Controlled Markov Processes

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On the Theory of Controlled Markov Processes

Theory of Probability and Its Applications ◽

10.1137/1116074 ◽

1971 ◽

Vol 16 (4) ◽

pp. 683-689

Author(s):

H. J. Englebert

Keyword(s):

Markov Processes ◽

Controlled Markov Processes

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On the existence of strict optimal controls for constrained, controlled Markov processes in continuous time

Stochastics ◽

10.1080/17442508.2011.580347 ◽

2011 ◽

Vol 84 (1) ◽

pp. 55-78 ◽

Cited By ~ 9

Author(s):

Francois Dufour ◽

Richard H. Stockbridge

Keyword(s):

Markov Processes ◽

Continuous Time ◽

Optimal Controls ◽

Controlled Markov Processes

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CONTROLLED MARKOV PROCESSES (Grundlehren der mathematischen Wissenschaften, 235)

Bulletin of the London Mathematical Society ◽

10.1112/blms/14.4.368 ◽

1982 ◽

Vol 14 (4) ◽

pp. 368-370

Author(s):

D. Williams

Keyword(s):

Markov Processes ◽

Controlled Markov Processes

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