相关论文: Long run control of nonhomogeneous Markov processe…

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…

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 we study dependence of long run functionals and limit characteristics assuming that Borel measurable Markov controls converge pointwise. We consider two kinds of functionals: average cost per unit time and long run risk…

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…

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…

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…

Learning and optimal control under robust Markov decision processes (MDPs) have received increasing attention, yet most existing theory, algorithms, and applications focus on finite-horizon or discounted models. Long-run average-reward…

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 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…

In this paper, which is a continuation of the previously published discrete time paper we develop a theory for continuous time stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a…

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…

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…

Time-inhomogeneous controlled diffusion processes in both cylindrical and noncylindrical domains are considered. Bellman's principle and its applications to proving the continuity of value functions are investigated.

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.…

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 is concerned with the development of rigorous approximations to various expectations associated with Markov chains and processes having non-stationary transition probabilities. Such non-stationary models arise naturally in…

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.

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…

The paper studies an improved estimate for the rate of convergence for nonlinear homogeneous discrete-time Markov chains. These processes are nonlinear in terms of the distribution law. Hence, the transition kernels are dependent on the…