3 papers
math.OC2026
On the Bellman equation in recursive stochastic dynamic programming with the CES aggregator
Anna JaÅkiewicz, 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…
math.OC2025
Yet Another Distributional Bellman Equation
Nicole Bäuerle, Tamara Göll, Anna JaÅkiewicz
We consider non-standard Markov Decision Processes (MDPs) where the target function is not only a simple expectation of the accumulated reward. Instead, we consider rather general…
math.OC2025
Stochastic dynamic programming under recursive Epstein-Zin preferences
Anna JaÅkiewicz, Andrzej S. Nowak
This paper investigates discrete-time Markov decision processes with recursive utilities (or payoffs) defined by the classic CES aggregator and the Kreps-Porteus certainty equivale…