2 papers
math.OC2019
Risk sensitive optimal stopping
Damian Jelito, Marcin Pitera, Łukasz Stettner
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 continuit…
math.OC2019
Long-run risk sensitive dyadic impulse control
Marcin Pitera, Łukasz Stettner
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 lite…