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pro vyhledávání: '"Jaskiewicz, Anna"'
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
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
Akademický článek
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Autor:
Bäuerle, Nicole, Jaśkiewicz, Anna
Publikováno v:
Insurance: Mathematics and Economics, vol.73, 82-93, 2017
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 discounted payoff with the help of the exponential premium principle. This
Externí odkaz:
http://arxiv.org/abs/1605.09614
Autor:
Bäuerle, Nicole, Jaśkiewicz, Anna
Publikováno v:
Journal of Economic Theory 173, 181-200, 2018
This paper studies a one-sector optimal growth model with i.i.d. productivity shocks that are allowed to be unbounded. The utility function is assumed to be non-negative and unbounded from above. The novel feature in our framework is that the agent h
Externí odkaz:
http://arxiv.org/abs/1509.05638