Zobrazeno 1 - 10
of 103
pro vyhledávání: '"Saha, Subhamay"'
In this paper we study infinite horizon nonzero-sum stochastic games for controlled discrete-time Markov chains on a Polish state space with risk-sensitive ergodic cost criterion. Under suitable assumptions we show that the associated ergodic optimal
Externí odkaz:
http://arxiv.org/abs/2408.12849
Autor:
Bhabak, Arnab, saha, Subhamay
In this paper, we investigate a partially observable zero sum games where the state process is a discrete time Markov chain. We consider a general utility function in the optimization criterion. We show the existence of value for both finite and infi
Externí odkaz:
http://arxiv.org/abs/2211.07888
We consider a class of semi-Markov processes (SMP) such that the embedded discrete time Markov chain may be non-homogeneous. The corresponding augmented processes are represented as semi-martingales using stochastic integral equation involving a Pois
Externí odkaz:
http://arxiv.org/abs/2207.06132
Autor:
Bhabak, Arnab, Saha, Subhamay
In this article we consider zero and non-zero sum risk-sensitive average criterion games for semi-Markov processes with a finite state space. For the zero-sum case, under suitable assumptions we show that the game has a value. We also establish the e
Externí odkaz:
http://arxiv.org/abs/2106.04889
Autor:
Bhabak, Arnab, Saha, Subhamay
In this article we consider risk-sensitive control of semi-Markov processes with a discrete state space. We consider general utility functions and discounted cost in the optimization criteria. We consider random finite horizon and infinite horizon pr
Externí odkaz:
http://arxiv.org/abs/2101.04510
Autor:
Pal, Chandan, Saha, Subhamay
We consider a zero-sum stochastic game for continuous-time Markov chain with countable state space and unbounded transition and pay-off rates. The additional feature of the game is that the controllers together with taking actions are also allowed to
Externí odkaz:
http://arxiv.org/abs/2006.01420
Autor:
Cohen, Asaf, Saha, Subhamay
We consider a critically-loaded multiclass queueing control problem with model uncertainty. The model consists of $I$ types of customers and a single server. At any time instant, a decision-maker (DM) allocates the server's effort to the customers. T
Externí odkaz:
http://arxiv.org/abs/2004.01232
Autor:
Saha, Subhamay
In this thesis we investigate single and multi-player stochastic dynamic optimization prob-lems. We consider both discrete and continuous time processes. In the multi-player setup we investigate zero-sum games with both complete and partial informati
Externí odkaz:
http://etd.iisc.ernet.in/2005/3357
http://etd.iisc.ernet.in/abstracts/4224/G25755-Abs.pdf
http://etd.iisc.ernet.in/abstracts/4224/G25755-Abs.pdf
Autor:
Biswas, Anup, Saha, Subhamay
Zero sum games with risk-sensitive cost criterion are considered with underlying dynamics being given by controlled stochastic differential equations. Under the assumption of geometric stability on the dynamics , we completely characterize all possib
Externí odkaz:
http://arxiv.org/abs/1704.02689
Publikováno v:
Journal des Math\'ematiques Pures et Appliqu\'ees 124 (2019), 169-219
This paper studies the eigenvalue problem on $\mathbb{R}^d$ for a class of second order, elliptic operators of the form $\mathscr{L} = a^{ij}\partial_{x_i}\partial_{x_j} + b^{i}\partial_{x_i} + f$, associated with non-degenerate diffusions. We show t
Externí odkaz:
http://arxiv.org/abs/1704.02571