15 citations · 54 across the 23 of their papers we have counts for
7 papers · 1 filter
Blackwell optimality in risk-sensitive stochastic control
Marcin Pitera, Łukasz Stettner
In this paper, we consider a discrete-time Markov Decision Process (MDP) on a finite state-action space with a long-run risk-sensitive criterion used as the objective function. We…
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…
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-…
Risk sensitive optimal stopping
Damian Jelito, Marcin Pitera, Łukasz Stettner
In this paper we consider discrete and continuous time risk sensitive optimal stopping problem. Using suitable properties of the underlying Feller-Markov process we prove continuit…
Long-run risk sensitive impulse control
Damian Jelito, Marcin Pitera, Łukasz Stettner
In this paper we consider long-run risk sensitive average cost impulse control applied to a continuous-time Feller-Markov process. Using the probabilistic approach, we show how to…
Long-run risk sensitive dyadic impulse control
Marcin Pitera, Łukasz Stettner
In this paper long-run risk sensitive optimisation problem is studied with dyadic impulse control applied to continuous-time Feller-Markov process. In contrast to the existing lite…
Long run risk sensitive portfolio with general factors
Marcin Pitera, Łukasz Stettner
In the paper portfolio optimization over long run risk sensitive criterion is considered. It is assumed that economic factors which stimulate asset prices are ergodic but non neces…