In this paper we extend standard dynamic programming results for the risk sensitive optimal control of discrete time Markov chains to a new class of models. The state space is only finite, but now the assumptions about the Markov transition matrix are much less restrictive. Our results are then...

In this paper we extend standard dynamic programming results for the risk sensitive optimal control of discrete time Markov chains to a new class of models. The state space is only finite, but now the assumptions about the Markov transition matrix are much less restrictive. Our results are then...

This note concerns Markov decision chains with finite state and action sets. The decision maker is assumed to be risk-averse with constant risk sensitive coefficient λ, and the performance of a control policy is measured by the risk-sensitive average cost criterion. In their seminal paper...

In this paper we study an optimal investment problem of an insurer when the company has the opportunity to invest in a risky asset using stochastic control techniques. A closed form solution is given when the risk preferences are exponential as well as an estimate of the ruin probability when...

We consider an optimal consumption and investment model in continuous time, which is an extension of the original Merton's problem. In the proposed model, the asset prices are affected by correlated economic factors, modelled as diffusion processes. Writing the value function in a special form,...

We analyze the stochastic control approach to the dynamic maximization of the robust utility of consumption and investment. The robust utility functionals are defined in terms of logarithmic utility and a dynamically consistent convex risk measure. The underlying market is modeled by a diffusion...

We propose a stochastic control approach to the dynamic maximization of robust utility functionals that are defined in terms of logarithmic utility and a dynamically consistent convex risk measure. The underlying market is modeled by a diffusion process whose coefficients are driven by an...

We study a zero-sum game where the evolution of a spectrally one-sided Lévy process is modified by a singular controller and is terminated by the stopper. The singular controller minimizes the expected values of running, controlling and terminal costs while the stopper maximizes them. Using...

This note concerns Markov decision chains with finite state and action sets. The decision maker is assumed to be risk-averse with constant risk sensitive coefficient λ, and the performance of a control policy is measured by the risk-sensitive average cost criterion. In their seminal paper...

In this paper we study an optimal investment problem of an insurer when the company has the opportunity to invest in a risky asset using stochastic control techniques. A closed form solution is given when the risk preferences are exponential as well as an estimate of the ruin probability when...