Journal: SIAM Journal on Control and Optimization

Found 84 papers in total
The dynamic programming equation for the problem of optimal investment under capital gains taxes
The dynamic programming equation for the problem of optimal investment under capital gains taxes
2007,
This paper considers an extension of the Merton optimal investment problem to the case...
Optimal strategies for risk-sensitive portfolio optimization problems for general factor models
Optimal strategies for risk-sensitive portfolio optimization problems for general factor models
2003,
We consider constructing optimal strategies for risk-sensitive portfolio optimization...
Minimizing infinite time horizon discounted cost with mean, variance, and bounded variation controls
Minimizing infinite time horizon discounted cost with mean, variance, and bounded variation controls
2003,
We consider an infinite time horizon discounted cost minimization problem for a class...
Necessary and sufficient conditions for optimal offers in electricity markets
Necessary and sufficient conditions for optimal offers in electricity markets
2002,
In this paper, we consider the optimal policy for a generator offering power into as...
Continuous-time Dynkin games with mixed strategies
Continuous-time Dynkin games with mixed strategies
2002,
Let ( X,Y,Z ) be a triple of payoff processes defining a Dynkin game...
A stochastic control approach to portfolio problems with stochastic interest rates
A stochastic control approach to portfolio problems with stochastic interest rates
2001,
We consider investment problems where an investor can invest in a savings account,...
Optimal control for continuous-time linear quadratic problems with infinite Markov jump parameters
Optimal control for continuous-time linear quadratic problems with infinite Markov jump parameters
2001,
The subject matter of this paper is the optimal control problem for continuous-time...
Sequencing and routing in multiclass queueing networks part I: Feedback regulation
Sequencing and routing in multiclass queueing networks part I: Feedback regulation
2001,
This paper establishes new criteria for stability and for instability of multiclass...
Stochastic linear–quadratic control via semidefinite programming
Stochastic linear–quadratic control via semidefinite programming
2001,
We study stochastic linear–quadratic (LQ) optimal control problems over an...
A conjugate points theory for a nonlinear programming problem
A conjugate points theory for a nonlinear programming problem
2001,
The conjugate point is an important global concept in the calculus of variations and...
A dynamic programming algorithm for the optimal control of piecewise deterministic Markov processes
A dynamic programming algorithm for the optimal control of piecewise deterministic Markov processes
2001,
A piecewise deterministic Markov process (PDP) is a continuous time Markov process...
Learning algorithms for Markov decision processes with average cost
Learning algorithms for Markov decision processes with average cost
2001,
This paper gives the first rigorous convergence analysis of analogues of Watkins's...
Linear programming formulation for optimal stopping problems
Linear programming formulation for optimal stopping problems
2002,
Optimal stopping problems for continuous time Markov processes are shown to be...
Stock trading: An optimal selling rule
Stock trading: An optimal selling rule
2001,
Trading in stock markets consists of three major steps: select a stock, purchase a...
Learning algorithms or Markov decision processes with average cost
Learning algorithms or Markov decision processes with average cost
2001,
This paper gives the first rigorous convergence analysis of analogues of Watkins's...
A dynamic programming algorithm for the optimal control of piecewise deterministic Markov processes
A dynamic programming algorithm for the optimal control of piecewise deterministic Markov processes
2001,
A piecewise deterministic Markov process is a continuous time Markov process...
Sequencing and routing in multiclass queueing networks part I: Feedback regulation
Sequencing and routing in multiclass queueing networks part I: Feedback regulation
2001,
This paper establishes new criteria for stability and for instability of multiclass...
Stock trading: An optimal selling rule
Stock trading: An optimal selling rule
2001,
Trading in stock markets consists of three major steps: select a stock, purchase a...
Risk-sensitive control of discrete-time Markov processes with infinite horizon
Risk-sensitive control of discrete-time Markov processes with infinite horizon
1999,
In this paper we study existence of solutions to the Bellman equation corresponding to...
Sample-path optimality and variance-minimization of average cost Markov control processes
Sample-path optimality and variance-minimization of average cost Markov control processes
1999,
This paper studies several average-cost criteria for Markov control processes on Borel...
Actor-critic-type learning algorithms for Markov decision processes
Actor-critic-type learning algorithms for Markov decision processes
1999,
Algorithms for learning the optimal policy of a Markov decision process (MDP) based on...
Continuity of optimal values and solutions for control of Markov chains with constraints
Continuity of optimal values and solutions for control of Markov chains with constraints
2000,
We consider in this paper constrained Markov decision processes. This type of control...
Minimizing expected loss of hedging in incomplete and constrained markets
Minimizing expected loss of hedging in incomplete and constrained markets
2000,
We study the problem of minimizing the expected discounted loss when hedging a...
Average cost dynamic programming equations for controlled Markov chains with partial observations
Average cost dynamic programming equations for controlled Markov chains with partial observations
2000,
The value function for the average cost control of class of partially observed Markov...
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