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This work concerns controlled Markov chains with finite state and action spaces. The transition law satisfies the simultaneous Doeblin condition, and the performance of a control policy is measured by the (long-run) risk-sensitive average…
In this paper, we consider risk-sensitive Markov Decision Processes (MDPs) with Borel state and action spaces and unbounded cost under both finite and infinite planning horizons. Our optimality criterion is based on the recursive…
This paper studies a finite-fuel two-dimensional degenerate singular stochastic control problem under regime switching that is motivated by the optimal irreversible extraction problem of an exhaustible commodity. A company extracts a…
We investigate the problem of optimal dividend distribution for a company in the presence of regime shifts. We consider a company whose cumulative net revenues evolve as a Brownian motion with positive drift that is modulated by a finite…
We study data-driven learning of robust stochastic control for infinite-horizon systems with potentially continuous state and action spaces. In many managerial settings--supply chains, finance, manufacturing, services, and dynamic…
We consider an investor who wants to select her/his optimal consumption, investment and insurance policies. Motivated by new insurance products, we allow not only the financial marke but also the insurable loss to depend on the regime of…
We consider a discrete-time version of the popular optimal dividend pay-out problem in risk theory. The novel aspect of our approach is that we allow for a risk averse insurer, i.e., instead of maximising the expected discounted dividends…
We develop a comprehensive mathematical and computational framework for optimal production planning in economies governed by stochastic regime switches driven by a continuous-time Markov chain. The value functions of the underlying…
This paper concentrates on the reliability of a discrete-time controlled Markov system with finite states and actions, and aims to give an efficient algorithm for obtaining an optimal (control) policy that makes the system have the maximal…
This paper studies optimal consumption and saving decisions under uncertainty about the transition dynamics of the economic environment. We consider a general optimal savings problem in which the exogenous state governing discounting,…
We study a portfolio selection problem in a continuous-time It\^o-Markov additive market with prices of financial assets described by Markov additive processes which combine L\'evy processes and regime switching models. Thus the model takes…
This study considers an optimal reinsurance, investment, and dividend strategy control problem for insurance companies in a regulated Markov regime-switching environment, intending to maximize long-run average reward. Unlike existing single…
This paper studies finite-time optimal consumption-investment problems with power, logarithmic and exponential utilities, in a regime switching market with random coefficients, subject to coupled constraints on the consumption and…
This study investigates a stochastic production planning problem with regime-switching parameters, inspired by economic cycles impacting production and inventory costs. The model considers types of goods and employs a Markov chain to…
This paper studies continuous-time Markov decision processes under the risk-sensitive average cost criterion. The state space is a finite set, the action space is a Borel space, the cost and transition rates are bounded, and the…
We study an open problem of risk-sensitive portfolio allocation in a regime-switching credit market with default contagion. The state space of the Markovian regime-switching process is assumed to be a countably infinite set. To characterize…
We study optimal control of Markov processes with age-dependent transition rates. The control policy is chosen continuously over time based on the state of the process and its age. We study infinite horizon discounted cost and infinite…
This paper is concerned with the maximum principle of stochastic optimal control problems, where the coefficients of the state equation and the cost functional are uncertain, and the system is generally under Markovian regime switching.…
This article studies the expected occupancy probabilities on an alphabet. Unlike the standard situation, where observations are assumed to be independent and identically distributed (iid), we assume that they follow a regime switching…
This paper deals with discrete-time Markov control processes on a general state space. A long-run risk-sensitive average cost criterion is used as a performance measure. The one-step cost function is nonnegative and possibly unbounded.…