5 papers
On the Bellman equation in recursive stochastic dynamic programming with the CES aggregator
Anna Jaśkiewicz, Andrzej S. Nowak
In this paper we investigate discrete-time infinite horizon Markov decision processes (dynamic programming models) with recursive utilities defined by the classical \emph{CES} aggr…
On approximate and weak correlated equilibria in constrained discounted stochastic games
Anna Jaśkiewicz, Andrzej S. Nowak
In this paper, we consider constrained discounted stochastic games with a countably generated state space and norm continuous transition probability having a density function. We p…
Constrained discounted stochastic games
Anna Jaśkiewicz, Andrzej S. Nowak
In this paper, we consider a large class of constrained non-cooperative stochastic Markov games with countable state spaces and discounted cost criteria. In one-player case, i.e.,…
Stochastic dynamic programming with non-linear discounting
Nicole Bäuerle, Anna Jaśkiewicz, Andrzej S. Nowak
In this paper, we study a Markov decision process with a non-linear discount function and with a Borel state space. We define a recursive discounted utility, which resembles non-ad…
Constrained discounted Markov decision processes with Borel state spaces
Eugene A. Feinberg, Anna Jaśkiewicz, Andrzej S. Nowak
We study discrete-time discounted constrained Markov decision processes (CMDPs) on Borel spaces with unbounded reward functions. In our approach the transition probability function…