83 citations · 83 across the 2 of their papers we have counts for
5 papers
Stochastic dynamic programming with non-linear discounting
Nicole Bäuerle, Anna Jaśkiewicz, Andrzej S. Nowak
In this paper, we study a Markov decision process with a non-linear discount function and with a Borel state space. We define a recursive discounted utility, which resembles non-ad…
Constrained discounted Markov decision processes with Borel state spaces
Eugene A. Feinberg, Anna Jaśkiewicz, Andrzej S. Nowak
We study discrete-time discounted constrained Markov decision processes (CMDPs) on Borel spaces with unbounded reward functions. In our approach the transition probability function…
On a generalization of the Dvoretzky-Wald-Wolfowitz theorem with an application to a robust optimization problem
Anna Jaśkiewicz, Andrzej S. Nowak
A generalization of the Dvoretzky-Wald-Wolfowitz theorem to the case of conditional expectations is provided assuming that the -field on the state space has no conditional atoms…
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…
Average optimality for risk-sensitive control with general state space
Anna Jaśkiewicz
This paper deals with discrete-time Markov control processes on a general state space. A long-run risk-sensitive average cost criterion is used as a performance measure. The one-st…