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pro vyhledávání: '"JAŚKIEWICZ, ANNA"'
Autor:
Jaśkiewicz, Anna, Nowak, Andrzej S.
This paper investigates discrete-time Markov decision processes with recursive utilities (or payoffs) defined by the classic CES aggregator and the Kreps-Porteus certainty equivalent operator. According to the classification introduced by Marinacci a
Externí odkaz:
http://arxiv.org/abs/2410.19181
Autor:
Bäuerle, Nicole, Jaśkiewicz, Anna
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 Certainty Equivalent as a means to measure expectation and risk. This compris
Externí odkaz:
http://arxiv.org/abs/2311.06896
Autor:
Bäuerle, Nicole, Jaśkiewicz, Anna
We investigate discrete-time mean-variance portfolio selection problems viewed as a Markov decision process. We transform the problems into a new model with deterministic transition function for which the Bellman optimality equation holds. In this wa
Externí odkaz:
http://arxiv.org/abs/2301.11218
Autor:
Jaśkiewicz, Anna, Nowak, Andrzej S.
In this paper, we consider constrained discounted stochastic games with a countably generated state space and norm continuous transition probability having a density function. We prove existence of approximate stationary equilibria and stationary wea
Externí odkaz:
http://arxiv.org/abs/2201.01065
Autor:
Jaśkiewicz, Anna, Nowak, Andrzej S.
In this paper, we consider a large class of constrained non-cooperative stochastic Markov games with countable state spaces and discounted cost criteria. In one-player case, i.e., constrained discounted Markov decision models, it is possible to formu
Externí odkaz:
http://arxiv.org/abs/2112.07960
Publikováno v:
Appl Math Optim 84, 2021
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-additive utility functions considered in a number of models in economics
Externí odkaz:
http://arxiv.org/abs/2011.02239
Akademický článek
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Akademický článek
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We study discrete-time discounted constrained Markov decision processes (CMDPs) on Borel spaces with unbounded reward functions. In our approach the transition probability functions are weakly or set-wise continuous. The reward functions are upper se
Externí odkaz:
http://arxiv.org/abs/1806.00190
Autor:
Jaśkiewicz, Anna, Nowak, Andrzej S.
A generalization of the Dvoretzky-Wald-Wolfowitz theorem to the case of conditional expectations is provided assuming that the $\sigma$-field on the state space has no conditional atoms.
Comment: 10 pages
Comment: 10 pages
Externí odkaz:
http://arxiv.org/abs/1712.07577