A general stochastic maximum principle for singular control problems.
A singular control problem with an expected and a pathwise ergodic performance criterion.
An approximation method in stochastic optimization and control
An optimality system for finite average Markov decision chains under risk-aversion
This work concerns controlled Markov chains with finite state space and compact action sets. The decision maker is risk-averse with constant risk-sensitivity, and the performance of a control policy is measured by the long-run average cost criterion. Under standard continuity-compactness conditions, it is shown that the (possibly non-constant) optimal value function is characterized by a system of optimality equations which allows to obtain an optimal stationary policy. Also, it is shown that the...
An optimality-equation for discrete stochastic decision problems with general sets of admissible strategies
Approximation and optimality necessary conditions in relaxed stochastic control problems.