Related papers: Long-run risk sensitive dyadic impulse control

In this paper we consider long-run risk sensitive average cost impulse control applied to a continuous-time Feller-Markov process. Using the probabilistic approach, we show how to get a solution to a suitable continuous-time Bellman…

In this paper, we investigate the effects of applying generalised (non-exponential) discounting on a long-run impulse control problem for a Feller-Markov process. We show that the optimal value of the discounted problem is the same as the…

In this paper we consider an infinite time horizon risk-sensitive optimal stopping problem for a Feller--Markov process with an unbounded terminal cost function. We show that in the unbounded case an associated Bellman equation may have…

We consider a long-run impulse control problem for a generic Markov process with a multiplicative reward functional. We construct a solution to the associated Bellman equation and provide a verification result. The argument is based on the…

This paper studies maximisation of an average-cost-per-unit-time ergodic functional over impulse strategies controlling a Feller-Markov process. The uncontrolled process is assumed to be ergodic but, unlike the extant literature, the…

In the paper portfolio optimization over long run risk sensitive criterion is considered. It is assumed that economic factors which stimulate asset prices are ergodic but non necessarily uniformly ergodic. Solution to suitable Bellman…

In the paper average reward per unit time and average risk sensitive reward functionals are considered for controlled nonhomogeneous Markov processes. Existence of solutions to suitable Bellman equations is shown. Continuity of the value…

Controlled discrete time Markov processes are studied first with long run general discounting functional. It is shown that optimal strategies for average reward per unit time problem are also optimal for average generally discounting…

In the paper adapting Krein Rutman theory we show the existence of solutions to the long run risk sensitive control problem for controlled discrete time Markov processes over locally compact separable metric spaces.

In this paper, we consider risk-sensitive discounted control problem for continuous-time jump Markov processes taking values in general state space. The transition rates of underlying continuous-time jump Markov processes and the cost rates…

We consider a two-sided singular stochastic control problem with a risk-sensitive ergodic criterion. In particular, we consider a stochastic system whose uncontrolled dynamics are modelled by a linear diffusion. The control that can be…

In this paper we consider discrete and continuous time risk sensitive optimal stopping problem. Using suitable properties of the underlying Feller-Markov process we prove continuity of the optimal stopping value function and provide formula…

The objective of this work is to study continuous-time Markov decision processes on a general Borel state space with both impulsive and continuous controls for the infinite-time horizon discounted cost. The continuous-time controlled…

We study the infinite-horizon average (ergodic) risk sensitive control problem for diffusion processes under a general structural hypothesis: there is a partition of state space into two subsets, where the controlled diffusion process…

The article poses a general model for optimal control subject to information constraints, motivated in part by recent work of Sims and others on information-constrained decision-making by economic agents. In the average-cost optimal control…

We introduce the Lyapunov approach to optimal control problems of average risk-sensitive Markov control processes with general risk maps. Motivated by applications in particular to behavioral economics, we consider possibly non-convex risk…

In this paper we propose a new methodology for solving an uncertain stochastic Markovian control problem in discrete time. We call the proposed methodology the adaptive robust control. We demonstrate that the uncertain control problem under…

In this paper we study a class of risk-sensitive Markovian control problems in discrete time subject to model uncertainty. We consider a risk-sensitive discounted cost criterion with finite time horizon. The used methodology is the one of…

Time-consistency is an essential requirement in risk sensitive optimal control problems to make rational decisions. An optimization problem is time consistent if its solution policy does not depend on the time sequence of solving the…

This paper solves a Bayes sequential impulse control problem for a diffusion, whose drift has an unobservable parameter with a change point. The partially-observed problem is reformulated into one with full observations, via a change of…