Related papers: Discrete time risk sensitive control problem
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…
This paper establishes explicit solutions for fractional diffusion problems on bounded domains. It also gives stochastic solutions, in terms of Markov processes time-changed by an inverse stable subordinator whose index equals the order of…
We formulate a probabilistic Markov property in discrete time under a dynamic risk framework with minimal assumptions. This is useful for recursive solutions to risk-sensitive versions of dynamic optimisation problems such as optimal…
We consider the stochastic optimal control problem of nonlinear mean-field systems in discrete time. We reformulate the problem into a deterministic control problem with marginal distribution as controlled state variable, and prove that…
In the last years, many authors studied a class of continuous time semi-Markov processes obtained by time-changing Markov processes by hitting times of independent subordinators. Such processes are governed by integro-differential…
We solve non-Markovian optimal switching problems in discrete time on an infinite horizon, when the decision maker is risk aware and the filtration is general, and establish existence and uniqueness of solutions for the associated reflected…
In this paper we consider discrete time stochastic optimal control problems over infinite and finite time horizons. We show that for a large class of such problems the Taylor polynomials of the solutions to the associated Dynamic…
This paper considers the optimal control of time varying continuous time Markov chains whose transition rates are themselves Markov processes. In one set of problems the solution of an ordinary differential equation is shown to determine…
This paper is concerned with the exact controllability of discrete-time stochastic system which is one of the basic problems of modern control theory. Though the exact controllability of continuous-time system governed by Ito stochastic…
We consider a class of stochastic optimal control problems with partial observation, and study their approximation by discrete-time control problems. We establish a convergence result by using weak convergence technique of Kushner and…
We present discrete-time approximation of optimal control policies for infinite horizon discounted/ergodic control problems for controlled diffusions in $\Rd$\,. In particular, our objective is to show near optimality of optimal policies…
In this paper we study a class of time-inconsistent terminal Markovian control problems in discrete time subject to model uncertainty. We combine the concept of the sub-game perfect strategies with the adaptive robust stochastic to tackle…
We develop an approach to time-consistent risk evaluation of continuous-time processes in Markov systems. Our analysis is based on dual representation of coherent risk measures, differentiability concepts for multivalued mappings, and a…
The paper is devoted to the study of a new class of optimal control problems governed by discontinuous constrained differential inclusions of the sweeping type with involving the duration of the dynamic process into optimization. We develop…
This paper focuses on optimizing probabilities of events of interest defined over general controlled discrete-time Markov processes. It is shown that the optimization over a wide class of $\omega$-regular properties can be reduced to the…
Controllability properties for discrete-time, Markovian quantum dynamics are investigated. We find that, while in general the controlled system is not finite-time controllable, feedback control allows for arbitrary asymptotic state-to-state…
This paper introduces a novel approach to the optimal control of linear discrete-time systems subject to bounded disturbances. Our approach is based on the newly established duality between ellipsoidal approximations of reachable and hardly…
This paper studies the properties of discrete time stochastic optimal control problems associated with portfolio selection. We investigate if optimal continuous time strategies can be used effectively for a discrete time market after a…
We consider optimal control problems for diffusion processes, where the objective functional is defined by a time-consistent dynamic risk measure. We focus on coherent risk measures defined by $g$-evaluations. For such problems, we…
We consider a Markov control model in discrete time with countable both state space and action space. Using the value function of a suitable long-run average reward problem, we study various reachability/controllability problems. First, we…