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Bibliography
Conference Paper (international conference)
Risk Sensitive Discrete- and Continuous -Time Markov Reward Processes
: Quantitative Methods in Economics: Multiple Criteria Decision making XIV, p. 272-281 , Eds: Reiff Sladký
: Quantitative Methods in Economics: Multiplie Criteria Decision Making XIV, (Tatranská Lomnica, SK, 05.07.2008-07.07.2008)
: CEZ:AV0Z10750506
: GA402/08/0107, GA ČR, GA402/07/1113, GA ČR
: Markov reward processes in discrete and continuous-time, exponential utility functions, average reward optimality
: http:///www.fhi.sk/sk/katedry/kove/ssov/papers
(eng): In this note we consider risk sensitive Markov reward processes with finite state space in discrete- and continuous-time setting. Explicit formulas for the growth rate and average reward optimality are obtained and connections between discrete- and continuous-time models is discussed.
(cze): V příspěvku se studují v diskrétním a spojitém čase markovské procesy s ohodnoceními a konečným počtem stavů citlivé na riziko. Jsou uvedeny explicitní vztahy pro míru růstu a průměrný výnos a jsou diskutovány analogie mezi modely v diskrétním a spojitém časem.
: BC