asymptotic independence 1dynamic optimization 1heavy tails 1Markov decision processes 1multistage stochastic programming 1probability metrics 1randomly weighted sums 1risk models 1ruin theory 1stability analysis 1
From the 2 of 3 linked papers with an AI index.
3 papers
math.OC2026
Stability Analysis of an Integrated Multistage Stochastic Programming and Markov Decision Process Problem
Zhiyao Yang, Zhiping Chen, Huifu Xu
The paper develops an integrated framework combining multistage stochastic programming and Markov decision processes, analyzes its dynamic reformulation, and establishes stability…
math.PR2026
Asymptotics of randomly weighted sums without moment conditions of random weights
Qingwu Gao, Dimitrios G. Konstantinides, Charalampos D. Passalidis +2
The paper analyzes the asymptotic behavior of sums with random weights that lack moment assumptions, focusing on heavy‑tailed primary variables and extending Breiman's theorem, wit…
math.OC2025
A Bayesian Composite Risk Approach for Stochastic Optimal Control and Markov Decision Processes
Wentao Ma, Zhiping Chen, Huifu Xu
Inspired by Shapiro et al.~\cite{shapiro2023episodic}, we consider a stochastic optimal control (SOC) and Markov decision process (MDP) where the risks arising from epistemic and a…