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Risk-Sensitive Markov Decision Processes

Citations

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Cited by:

  1. Rolando Cavazos-Cadena, 2010. "Optimality equations and inequalities in a class of risk-sensitive average cost Markov decision chains," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(1), pages 47-84, February.
  2. Grzegorz Haᴌaj & Christoffer Kok, 2015. "Modelling the emergence of the interbank networks," Quantitative Finance, Taylor & Francis Journals, vol. 15(4), pages 653-671, April.
  3. Lucy Gongtao Chen & Daniel Zhuoyu Long & Melvyn Sim, 2015. "On Dynamic Decision Making to Meet Consumption Targets," Operations Research, INFORMS, vol. 63(5), pages 1117-1130, October.
  4. C. Barz & K. Waldmann, 2007. "Risk-sensitive capacity control in revenue management," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 65(3), pages 565-579, June.
  5. Nicole Bäuerle & Alexander Glauner, 2021. "Minimizing spectral risk measures applied to Markov decision processes," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 94(1), pages 35-69, August.
  6. Monahan, George E. & Sobel, Matthew J., 1997. "Risk-Sensitive Dynamic Market Share Attraction Games," Games and Economic Behavior, Elsevier, vol. 20(2), pages 149-160, August.
  7. Bäuerle, Nicole & Glauner, Alexander, 2022. "Markov decision processes with recursive risk measures," European Journal of Operational Research, Elsevier, vol. 296(3), pages 953-966.
  8. Xianggang Lu & Lin Sun, 2023. "Discounted Risk-Sensitive Optimal Control of Switching Diffusions: Viscosity Solution and Numerical Approximation," Mathematics, MDPI, vol. 12(1), pages 1-24, December.
  9. Gustavo Portillo-Ramírez & Rolando Cavazos-Cadena & Hugo Cruz-Suárez, 2023. "Contractive approximations in average Markov decision chains driven by a risk-seeking controller," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 98(1), pages 75-91, August.
  10. Kumar, Uday M & Bhat, Sanjay P. & Kavitha, Veeraruna & Hemachandra, Nandyala, 2023. "Approximate solutions to constrained risk-sensitive Markov decision processes," European Journal of Operational Research, Elsevier, vol. 310(1), pages 249-267.
  11. Pestien, Victor & Wang, Xiaobo, 1998. "Markov-achievable payoffs for finite-horizon decision models," Stochastic Processes and their Applications, Elsevier, vol. 73(1), pages 101-118, January.
  12. V. S. Borkar & S. P. Meyn, 2002. "Risk-Sensitive Optimal Control for Markov Decision Processes with Monotone Cost," Mathematics of Operations Research, INFORMS, vol. 27(1), pages 192-209, February.
  13. Hui Chen Chiang, 2007. "Optimal prepayment behaviour," Applied Economics Letters, Taylor & Francis Journals, vol. 14(15), pages 1127-1129.
  14. Rolando Cavazos-Cadena & Daniel Hernández-Hernández, 2016. "A Characterization of the Optimal Certainty Equivalent of the Average Cost via the Arrow-Pratt Sensitivity Function," Mathematics of Operations Research, INFORMS, vol. 41(1), pages 224-235, February.
  15. Daniel Hernández Hernández & Diego Hernández Bustos, 2017. "Local Poisson Equations Associated with Discrete-Time Markov Control Processes," Journal of Optimization Theory and Applications, Springer, vol. 173(1), pages 1-29, April.
  16. Karel Sladký, 2013. "Risk-Sensitive and Mean Variance Optimality in Markov Decision Processes," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 7(3), pages 146-161, November.
  17. Dellaert, N.P. & Frenk, J.B.G. & van Rijsoort, L.P., 1993. "Optimal claim behaviour for vehicle damage insurances," Econometric Institute Research Papers 11669, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  18. HuiChen Chiang, 2007. "Financial intermediary's choice of borrowing," Applied Economics, Taylor & Francis Journals, vol. 40(2), pages 251-260.
  19. Nicole Bauerle & Alexander Glauner, 2020. "Minimizing Spectral Risk Measures Applied to Markov Decision Processes," Papers 2012.04521, arXiv.org.
  20. Rolando Cavazos-Cadena & Daniel Hernández-Hernández, 2011. "Discounted Approximations for Risk-Sensitive Average Criteria in Markov Decision Chains with Finite State Space," Mathematics of Operations Research, INFORMS, vol. 36(1), pages 133-146, February.
  21. Selene Chávez-Rodríguez & Rolando Cavazos-Cadena & Hugo Cruz-Suárez, 2016. "Controlled Semi-Markov Chains with Risk-Sensitive Average Cost Criterion," Journal of Optimization Theory and Applications, Springer, vol. 170(2), pages 670-686, August.
  22. Bäuerle, Nicole & Rieder, Ulrich, 2017. "Zero-sum risk-sensitive stochastic games," Stochastic Processes and their Applications, Elsevier, vol. 127(2), pages 622-642.
  23. Kang Boda & Jerzy Filar, 2006. "Time Consistent Dynamic Risk Measures," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 63(1), pages 169-186, February.
  24. Arnab Basu & Mrinal K. Ghosh, 2018. "Nonzero-Sum Risk-Sensitive Stochastic Games on a Countable State Space," Mathematics of Operations Research, INFORMS, vol. 43(2), pages 516-532, May.
  25. Guglielmo D’Amico & Fulvio Gismondi & Jacques Janssen & Raimondo Manca, 2015. "Discrete Time Homogeneous Markov Processes for the Study of the Basic Risk Processes," Methodology and Computing in Applied Probability, Springer, vol. 17(4), pages 983-998, December.
  26. Nicole Bäuerle & Jonathan Ott, 2011. "Markov Decision Processes with Average-Value-at-Risk criteria," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 74(3), pages 361-379, December.
  27. Zeynep Erkin & Matthew D. Bailey & Lisa M. Maillart & Andrew J. Schaefer & Mark S. Roberts, 2010. "Eliciting Patients' Revealed Preferences: An Inverse Markov Decision Process Approach," Decision Analysis, INFORMS, vol. 7(4), pages 358-365, December.
  28. Basu, Arnab & Ghosh, Mrinal Kanti, 2014. "Zero-sum risk-sensitive stochastic games on a countable state space," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 961-983.
  29. Erick Delage & Shie Mannor, 2010. "Percentile Optimization for Markov Decision Processes with Parameter Uncertainty," Operations Research, INFORMS, vol. 58(1), pages 203-213, February.
  30. Nicole Bäuerle & Ulrich Rieder, 2014. "More Risk-Sensitive Markov Decision Processes," Mathematics of Operations Research, INFORMS, vol. 39(1), pages 105-120, February.
  31. Selene Chávez-Rodríguez & Rolando Cavazos-Cadena & Hugo Cruz-Suárez, 2015. "Continuity of the optimal average cost in Markov decision chains with small risk-sensitivity," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 81(3), pages 269-298, June.
  32. Qingda Wei & Xian Chen, 2019. "Risk-Sensitive Average Equilibria for Discrete-Time Stochastic Games," Dynamic Games and Applications, Springer, vol. 9(2), pages 521-549, June.
  33. Takayuki Osogami, 2012. "Iterated risk measures for risk-sensitive Markov decision processes with discounted cost," Papers 1202.3755, arXiv.org.
  34. Rolando Cavazos-Cadena, 2009. "Solutions of the average cost optimality equation for finite Markov decision chains: risk-sensitive and risk-neutral criteria," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(3), pages 541-566, December.
  35. Rolando Cavazos-Cadena, 2018. "Characterization of the Optimal Risk-Sensitive Average Cost in Denumerable Markov Decision Chains," Mathematics of Operations Research, INFORMS, vol. 43(3), pages 1025-1050, August.
  36. Grzegorz Hałaj, 2016. "Dynamic Balance Sheet Model With Liquidity Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(07), pages 1-37, November.
  37. Muller, Alfred, 2000. "Expected utility maximization of optimal stopping problems," European Journal of Operational Research, Elsevier, vol. 122(1), pages 101-114, April.
  38. Jaśkiewicz, Anna & Nowak, Andrzej S., 2014. "Stationary Markov perfect equilibria in risk sensitive stochastic overlapping generations models," Journal of Economic Theory, Elsevier, vol. 151(C), pages 411-447.
  39. Julio Saucedo-Zul & Rolando Cavazos-Cadena & Hugo Cruz-Suárez, 2020. "A Discounted Approach in Communicating Average Markov Decision Chains Under Risk-Aversion," Journal of Optimization Theory and Applications, Springer, vol. 187(2), pages 585-606, November.
  40. Nicole Bäauerle & Ulrich Rieder, 2017. "Partially Observable Risk-Sensitive Markov Decision Processes," Mathematics of Operations Research, INFORMS, vol. 42(4), pages 1180-1196, November.
  41. Özlem Çavuş & Andrzej Ruszczyński, 2014. "Computational Methods for Risk-Averse Undiscounted Transient Markov Models," Operations Research, INFORMS, vol. 62(2), pages 401-417, April.
  42. Sakine Batun & Andrew J. Schaefer & Atul Bhandari & Mark S. Roberts, 2018. "Optimal Liver Acceptance for Risk-Sensitive Patients," Service Science, INFORMS, vol. 10(3), pages 320-333, September.
  43. Rubén Blancas-Rivera & Rolando Cavazos-Cadena & Hugo Cruz-Suárez, 2020. "Discounted approximations in risk-sensitive average Markov cost chains with finite state space," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 91(2), pages 241-268, April.
  44. Xin Guo & Qiuli Liu & Yi Zhang, 2019. "Finite horizon risk-sensitive continuous-time Markov decision processes with unbounded transition and cost rates," 4OR, Springer, vol. 17(4), pages 427-442, December.
  45. Naci Saldi & Tamer Bas¸ ar & Maxim Raginsky, 2020. "Approximate Markov-Nash Equilibria for Discrete-Time Risk-Sensitive Mean-Field Games," Mathematics of Operations Research, INFORMS, vol. 45(4), pages 1596-1620, November.
  46. Pelin Canbolat, 2014. "Optimal halting policies in Markov population decision chains with constant risk posture," Annals of Operations Research, Springer, vol. 222(1), pages 227-237, November.
  47. Carlos Camilo-Garay & Rolando Cavazos-Cadena & Hugo Cruz-Suárez, 2022. "Contractive Approximations in Risk-Sensitive Average Semi-Markov Decision Chains on a Finite State Space," Journal of Optimization Theory and Applications, Springer, vol. 192(1), pages 271-291, January.
  48. Rolando Cavazos-Cadena & Raúl Montes-de-Oca, 2003. "The Value Iteration Algorithm in Risk-Sensitive Average Markov Decision Chains with Finite State Space," Mathematics of Operations Research, INFORMS, vol. 28(4), pages 752-776, November.
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