3 papers
math.OC2026
Policy stability and ultimate stationarity in discounted risk-sensitive stochastic control
Nicole Bäuerle, Marcin Pitera, Łukasz Stettner
We study discrete-time Markov Decision Processes (MDPs) on finite state-action spaces and analyze the stability of optimal policies and value functions in the long-run discounted r…
math.OC2024
Blackwell optimality and policy stability for long-run risk sensitive stochastic control
Nicole Bäuerle, Marcin Pitera, Łukasz Stettner
This paper analyzes the stability of optimal policies in the long-run stochastic control framework with an averaged risk-sensitive criterion for discrete-time MDPs on finite state-…
q-fin.RM2023
Markov Decision Processes with Risk-Sensitive Criteria: An Overview
Nicole Bäuerle, Anna Jaśkiewicz
The paper provides an overview of the theory and applications of risk-sensitive Markov decision processes. The term 'risk-sensitive' refers here to the use of the Optimized Certain…