Related papers: Long-run impulse control with generalised discount…
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 long-run risk sensitive optimisation problem is studied with dyadic impulse control applied to continuous-time Feller-Markov process. In contrast to the existing literature, focus is put on unbounded and non-uniformly ergodic…
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…
We consider the constrained optimal control problem for the gradual-impulsive CTMDP model with the performance criteria being the expected total undiscounted costs (from the running cost and the cost from each time an impulse being…
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 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…
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…
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…
This paper deals with the general discounted impulse control problem of a piecewise deterministic Markov process. We investigate a new family of epsilon-optimal strategies. The construction of such strategies is explicit and only…
This papers deals with the constrained discounted control of piecewise deterministic Markov process (PDMPs) in general Borel spaces. The control variable acts on the jump rate and transition measure, and the goal is to minimize the total…
This paper deals with the long run average continuous control problem of piecewise deterministic Markov processes (PDMP's) taking values in a general Borel space and with compact action space depending on the state variable. The control…
This paper deals with unconstrained discounted continuous-time Markov decision processes in Borel state and action spaces. Under some conditions imposed on the primitives, allowing unbounded transition rates and unbounded (from both above…
We study an optimal stopping problem under non-exponential discounting, where the state process is a multi-dimensional continuous strong Markov process. The discount function is taken to be log sub-additive, capturing decreasing impatience…
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…
In this paper we consider impulse control of continuous time Markov processes with average cost per unit time functional. This problem is approximated using impulse control problems stopped at the first exit time from increasing sequence of…
In this paper, we consider the gradual-impulse control problem of continuous-time Markov decision processes, where the system performance is measured by the expectation of the exponential utility of the total cost. We prove, under very…
Commonly in reinforcement learning (RL), rewards are discounted over time using an exponential function to model time preference, thereby bounding the expected long-term reward. In contrast, in economics and psychology, it has been shown…
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…
A general result on the method of randomized stopping is proved. It is applied to optimal stopping of controlled diffusion processes with unbounded coefficients to reduce it to an optimal control problem without stopping. This is motivated…
In the paper we study continuous time controlled Markov processes using discrete time controlled Markov processes. We consider long run functionals: average reward per unit time or long run risk sensitive functional. We also investigate…