Anna Jaśkiewicz
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View article: Yet Another Distributional Bellman Equation
Yet Another Distributional Bellman Equation Open
We consider non-standard Markov Decision Processes (MDPs) where the target function is not only a simple expectation of the accumulated reward. Instead, we consider rather general functionals of the joint distribution of terminal state and…
View article: Stochastic dynamic programming under recursive Epstein-Zin preferences
Stochastic dynamic programming under recursive Epstein-Zin preferences Open
This paper investigates discrete-time Markov decision processes with recursive utilities (or payoffs) defined by the classic CES aggregator and the Kreps-Porteus certainty equivalent operator. According to the classification introduced by …
View article: Markov decision processes with risk-sensitive criteria: an overview
Markov decision processes with risk-sensitive criteria: an overview Open
The paper provides an overview of the theory and applications of risk-sensitive Markov decision processes. The term ’risk-sensitive’ refers here to the use of the Optimized Certainty Equivalent as a means to measure expectation and risk. T…
View article: Markov Decision Processes with Risk-Sensitive Criteria: An Overview
Markov Decision Processes with Risk-Sensitive Criteria: An Overview Open
The paper provides an overview of the theory and applications of risk-sensitive Markov decision processes. The term 'risk-sensitive' refers here to the use of the Optimized Certainty Equivalent as a means to measure expectation and risk. T…
View article: Time-consistency in the mean-variance problem: A new perspective
Time-consistency in the mean-variance problem: A new perspective Open
We investigate discrete-time mean-variance portfolio selection problems viewed as a Markov decision process. We transform the problems into a new model with deterministic transition function for which the Bellman optimality equation holds.…
View article: On Approximate and Weak Correlated Equilibria in Constrained Discounted Stochastic Games
On Approximate and Weak Correlated Equilibria in Constrained Discounted Stochastic Games Open
In this paper, we consider constrained discounted stochastic games with a countably generated state space and norm continuous transition probability having a density function. We prove existence of approximate stationary equilibria and sta…
View article: Non-zero-sum stochastic games with recursive utilities of risk-sensitive players
Non-zero-sum stochastic games with recursive utilities of risk-sensitive players Open
Recursive utilities constructed by conditional entropic risk measures have recently been considered in various stochastic models and their applications, e.g., in economic dynamics. We study countable state discounted stochastic games playe…
View article: On approximate and weak correlated equilibria in constrained discounted stochastic games
On approximate and weak correlated equilibria in constrained discounted stochastic games Open
In this paper, we consider constrained discounted stochastic games with a countably generated state space and norm continuous transition probability having a density function. We prove existence of approximate stationary equilibria and sta…
View article: Constrained discounted stochastic games
Constrained discounted stochastic games Open
In this paper, we consider a large class of constrained non-cooperative stochastic Markov games with countable state spaces and discounted cost criteria. In one-player case, i.e., constrained discounted Markov decision models, it is possib…
View article: Stochastic Dynamic Programming with Non-linear Discounting
Stochastic Dynamic Programming with Non-linear Discounting Open
In this paper, we study a Markov decision process with a non-linear discount function and with a Borel state space. We define a recursive discounted utility, which resembles non-additive utility functions considered in a number of models i…
View article: Markov decision processes with quasi-hyperbolic discounting
Markov decision processes with quasi-hyperbolic discounting Open
We study Markov decision processes with Borel state spaces under quasi-hyperbolic discounting. This type of discounting nicely models human behaviour, which is time-inconsistent in the long run. The decision maker has preferences changing …
View article: Stochastic dynamic programming with non-linear discounting
Stochastic dynamic programming with non-linear discounting Open
In this paper, we study a Markov decision process with a non-linear discount function and with a Borel state space. We define a recursive discounted utility, which resembles non-additive utility functions considered in a number of models i…
View article: Equilibria in Altruistic Economic Growth Models
Equilibria in Altruistic Economic Growth Models Open
In this paper, we consider a stochastic economic growth model in the form of an intergenerational dynamic game. Both paternalistic and non-paternalistic components are present in the model. Under very general assumptions allowing for unbou…
View article: On non-randomized stationary optimal policies in constrained discounted Markov decision processes
On non-randomized stationary optimal policies in constrained discounted Markov decision processes Open
We study discrete-time discounted constrained Markov decision processes (CMDPs) on Borel spaces with unbounded reward functions. In our approach the transition probability functions are weakly or set-wise continuous. The reward functions a…
View article: Markov perfect equilibria in a dynamic decision model with quasi-hyperbolic discounting
Markov perfect equilibria in a dynamic decision model with quasi-hyperbolic discounting Open
We study a discrete-time non-stationary decision model in which the preferences of the decision maker change over time and are described by quasi-hyperbolic discounting. A time-consistent optimal solution in this model corresponds with a M…
View article: On symmetric stochastic games of resource extraction with weakly continuous transitions
On symmetric stochastic games of resource extraction with weakly continuous transitions Open
We study stochastic games of resource extraction, in which the players have identical preferences. The transition probability is either non-atomic or a convex combination of transition probabilities depending on the investment with coeffic…
View article: A note on a new class of recursive utilities in Markov decision processes
A note on a new class of recursive utilities in Markov decision processes Open
This paper deals with Markov decision processes on a general state space under standard compactness-continuity assumptions. The purpose is to obtain a new class of so-called recursive utilities with the aid of the entropic risk measure. Wi…