3 papers
math.PR2026
Asymptotics of randomly weighted sums without moment conditions of random weights
Qingwu Gao, Dimitrios G. Konstantinides, Charalampos D. Passalidis +2
In the paper, we investigate the asymptotics of randomly weighted sums with upper tail asymptotically independent and quasi-upper tail asymptotically independent primary random var…
math.OC2025
Stability Analysis of an Integrated Multistage Stochastic Programming and Markov Decision Process Problem
Zhiyao Yang, Zhiping Chen, Huifu Xu
In this paper, we consider an integrated MSP-MDP framework which captures features of Markov decision process (MDP) and multistage stochastic programming (MSP). The integrated fram…
math.OC2024
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…