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math.PR2022
On Function of Evolution of Distribution for Time Homogeneous Markov Processes
Tomasz Bielecki, Jacek Jakubowski, Maciej Wiśniewolski
A study of time homogeneous, real valued Markov processes with a special property and a non-atomic initial distribution is provided. The new notion of a function of evolution of di…
math.OC2022★ 1 cited
Risk Filtering and Risk-Averse Control of Markovian Systems Subject to Model Uncertainty
Tomasz R. Bielecki, Igor Cialenco, Andrzej Ruszczyński
We consider a Markov decision process subject to model uncertainty in a Bayesian framework, where we assume that the state process is observed but its law is unknown to the observe…