48 citations · 357 across the 28 of their papers we have counts for
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math.PR2016
Risk-Sensitive Stopping Problems for Continuous-Time Markov Chains
Nicole Bäuerle, Anton Popp
In this paper we consider stopping problems for continuous-time Markov chains under a general risk-sensitive optimization criterion for problems with finite and infinite time horiz…
math.PR2016
Optimal Dividend Payout Model with Risk Sensitive Preferences
Nicole Bäuerle, Anna Jaśkiewicz
We consider a discrete-time dividend payout problem with risk sensitive shareholders. It is assumed that they are equipped with a risk aversion coefficient and construct their disc…
math.OC2016★ 48 cited
Zero-sum Risk-Sensitive Stochastic Games
Nicole Bäuerle, Ulrich Rieder
In this paper we consider two-person zero-sum risk-sensitive stochastic dynamic games with Borel state and action spaces and bounded reward. The term risk-sensitive refers to the f…