12 citations · 34 across the 13 of their papers we have counts for
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math.OC2019★ 12 cited
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★ 8 cited
Long-run risk sensitive impulse control
Damian Jelito, Marcin Pitera, Łukasz Stettner
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…