T. Prieto-rumeau: search on Z-Library

The world's largest scientific articles store. 70,000,000+ articles for free.

Don't use scam websites

1

PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS

J. B. Lasserre, T. Prieto-Rumeau, M. Zervos

Journal:

Mathematical Finance

Year:

2006

Language:

english

File:

PDF, 330 KB

english, 2006

2

The vanishing discount approach to constrained continuous-time controlled Markov chains

Tomás Prieto-Rumeau, Onésimo Hernández-Lerma

Journal:

Systems & Control Letters

Year:

2010

Language:

english

File:

PDF, 317 KB

english, 2010

3

A survey of recent results on continuous-time Markov decision processes

Xianping Guo, Onésimo Hernández-Lerma, Tomás Prieto-Rumeau, Xi-Ren Cao, Junyu Zhang, Qiying Hu, Mark E. Lewis, Ricardo Vélez

Journal:

Year:

2006

Language:

english

File:

PDF, 735 KB

english, 2006

4

Variance minimization and the overtaking optimality approach to continuous-time controlled Markov chains

Tomás Prieto-Rumeau, Onésimo Hernández-Lerma

Journal:

Mathematical Methods of Operations Research

Year:

2009

Language:

english

File:

PDF, 198 KB

english, 2009

5

Bias and overtaking equilibria for zero-sum continuous-time Markov games

Tomás Prieto-Rumeau, Onésimo Hernández-Lerma

Journal:

Mathematical Methods of Operations Research

Year:

2005

Language:

english

File:

PDF, 309 KB

english, 2005

6

The Laurent series, sensitive discount and Blackwell optimality for continuous-time controlled Markov chains

Tomás Prieto-Rumeau, Onésimo Hernández-Lerma

Journal:

Mathematical Methods of Operations Research

Year:

2005

Language:

english

File:

PDF, 388 KB

english, 2005

7

Blackwell Optimality in the Class of Markov Policies for Continuous-Time Controlled Markov Chains

Tomás Prieto-Rumeau

Journal:

Acta Applicandae Mathematicae

Year:

2006

Language:

english

File:

PDF, 474 KB

english, 2006

8

[ICP Advanced Texts in Mathematics] Selected Topics on Continuous-Time Controlled Markov Chains and Markov Games Volume 5 || Basic Optimality Criteria

Prieto-Rumeau, Tomás, Hernández-Lerma, Onésimo

Year:

2012

Language:

english

File:

PDF, 313 KB

english, 2012

9

[ICP Advanced Texts in Mathematics] Selected Topics on Continuous-Time Controlled Markov Chains and Markov Games Volume 5 || Zero-Sum Markov Games

Prieto-Rumeau, Tomás, Hernández-Lerma, Onésimo

Year:

2012

Language:

english

File:

PDF, 201 KB

english, 2012

10

[ICP Advanced Texts in Mathematics] Selected Topics on Continuous-Time Controlled Markov Chains and Markov Games Volume 5 || Bias and Overtaking Equilibria for Markov Games

Prieto-Rumeau, Tomás, Hernández-Lerma, Onésimo

Year:

2012

Language:

english

File:

PDF, 145 KB

english, 2012

11

Approximating Ergodic Average Reward Continuous-Time Controlled Markov Chains

T. Prieto-rumeau, J. Lorenzo

Journal:

IEEE Transactions on Automatic Control

Year:

2010

Language:

english

File:

PDF, 303 KB

english, 2010

12

Discounted continuous-time controlled Markov chains: convergence of control models

Prieto-Rumeau, Tomás, Hernández-Lerma, Onésimo

Journal:

Journal of Applied Probability

Year:

2012

Language:

english

File:

PDF, 199 KB

english, 2012

13

Bias Optimality for Continuous-Time Controlled Markov Chains

Prieto-Rumeau, Tomás, Hernández-Lerma, Onésimo

Journal:

SIAM Journal on Control and Optimization

Year:

2006

Language:

english

File:

PDF, 230 KB

english, 2006

14

Ergodic Control of Continuous-Time Markov Chains with Pathwise Constraints

Prieto-Rumeau, Tomás, Hernández-Lerma, Onésimo

Journal:

SIAM Journal on Control and Optimization

Year:

2008

Language:

english

File:

PDF, 233 KB

english, 2008

15

[IEEE 2009 Joint 48th IEEE Conference on Decision and Control (CDC) and 28th Chinese Control Conference (CCC) - Shanghai, China (2009.12.15-2009.12.18)] Proceedings of the 48h IEEE Conference on Decision and Control (CDC) held jointly with 2009 28th Chinese Control Conference - Ergodic control of continuous-time Markov chains with pathwise constraints

Prieto-Rumeau, Tomas, Hernandez-Lerma, Onesimo

Year:

2009

Language:

english

File:

PDF, 403 KB

english, 2009

16

[ICP Advanced Texts in Mathematics] Selected Topics on Continuous-Time Controlled Markov Chains and Markov Games Volume 5 || Policy Iteration and Approximation Theorems

Prieto-Rumeau, Tomás, Hernández-Lerma, Onésimo

Year:

2012

Language:

english

File:

PDF, 259 KB

english, 2012

17

DISCOUNTED CONTINUOUS-TIME CONTROLLED MARKOV CHAINS: CONVERGENCE OF CONTROL MODELS

TOMÁS PRIETO-RUMEAU and ONÉSIMO HERNÁNDEZ-LERMA

Journal:

Journal of Applied Probability

Year:

2012

Language:

english

File:

PDF, 1.31 MB

english, 2012

18

Discounted Continuous-Time Controlled Markov Chains: Convergence of Control Models

Prieto-Rumeau, Tomás, Hernández-Lerma, Onésimo

Journal:

Journal of Applied Probability

Year:

2012

Language:

english

File:

PDF, 159 KB

english, 2012

19

Uniform ergodicity of continuous-time controlled Markov chains: A survey and new results

Prieto-Rumeau, Tomás, Hernández-Lerma, Onésimo

Journal:

Annals of Operations Research

Year:

2016

Language:

english

File:

PDF, 1.30 MB

english, 2016

20

[ICP Advanced Texts in Mathematics] Selected Topics on Continuous-Time Controlled Markov Chains and Markov Games Volume 5 || Applications

Prieto-Rumeau, Tomás, Hernández-Lerma, Onésimo

Year:

2012

Language:

english

File:

PDF, 312 KB

english, 2012

21

A De Finetti-type theorem for nonexchangeable finite-valued random variables

Ricardo Vélez Ibarrola, Tomás Prieto-Rumeau

Journal:

Journal of Mathematical Analysis and Applications

Year:

2008

Language:

english

File:

PDF, 183 KB

english, 2008

22

Central limit theorem for the estimator of the value of an optimal stopping problem

Tomás Prieto-Rumeau

Journal:

Year:

2005

Language:

english

File:

PDF, 989 KB

english, 2005

23

Estimation of an optimal solution of a LP problem with unknown objective function

Tomás Prieto-Rumeau

Journal:

Mathematical Programming

Year:

2004

Language:

english

File:

PDF, 196 KB

english, 2004

24

De Finetti-type theorems for nonexchangeable 0–1

Ricardo Vélez Ibarrola, Tomás Prieto-Rumeau

Journal:

Year:

2011

Language:

english

File:

PDF, 599 KB

english, 2011

25

De Finetti-type theorems for random selection processes. Necessary and sufficient conditions

Ricardo Vélez Ibarrola, Tomás Prieto-Rumeau

Journal:

Journal of Mathematical Analysis and Applications

Year:

2010

Language:

english

File:

PDF, 246 KB

english, 2010

26

Approximation of Markov decision processes with general state space

F. Dufour, T. Prieto-Rumeau

Journal:

Journal of Mathematical Analysis and Applications

Year:

2012

Language:

english

File:

PDF, 242 KB

english, 2012

27

[ICP Advanced Texts in Mathematics] Selected Topics on Continuous-Time Controlled Markov Chains and Markov Games Volume 5 || Controlled Markov Chains

Prieto-Rumeau, Tomás, Hernández-Lerma, Onésimo

Year:

2012

Language:

english

File:

PDF, 267 KB

english, 2012

28

Finite Linear Programming Approximations of Constrained Discounted Markov Decision Processes

Dufour, François, Prieto-Rumeau, Tomás

Journal:

SIAM Journal on Control and Optimization

Year:

2013

Language:

english

File:

PDF, 366 KB

english, 2013

29

Stochastic approximations of constrained discounted Markov decision processes

Dufour, François, Prieto-Rumeau, Tomás

Journal:

Journal of Mathematical Analysis and Applications

Year:

2014

Language:

english

File:

PDF, 477 KB

english, 2014

30

Stochastic Algorithms for the Estimation of an Optimal Solution of a LP Problem. Convergence and Central Limit Theorem

Prieto-Rumeau, Tomás

Journal:

Communication in Statistics- Theory and Methods

Year:

2008

Language:

english

File:

PDF, 128 KB

english, 2008

31

Random assignment processes: strong law of large numbers and De Finetti theorem

Vélez, Ricardo, Prieto-Rumeau, Tomás

Journal:

Year:

2015

Language:

english

File:

PDF, 355 KB

english, 2015

32

Approximation of two-person zero-sum continuous-time Markov games with average payoff criterion

Lorenzo, José María, Hernández-Noriega, Ismael, Prieto-Rumeau, Tomás

Journal:

Operations Research Letters

Year:

2015

Language:

english

File:

PDF, 433 KB

english, 2015

33

Approximation of average cost Markov decision processes using empirical distributions and concentration inequalities

Dufour, François, Prieto-Rumeau, Tomás

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2015

Language:

english

File:

PDF, 314 KB

english, 2015

34

SDP vs. LP Relaxations for the Moment Approach in Some Performance Evaluation Problems

Lasserre, Jean-Bernard, Prieto-Rumeau, Tomás

Journal:

Stochastic Models

Year:

2004

Language:

english

File:

PDF, 188 KB

english, 2004

35

Conditions for the Solvability of the Linear Programming Formulation for Constrained Discounted Markov Decision Processes

Dufour, F., Prieto-Rumeau, T.

Journal:

Applied Mathematics & Optimization

Year:

2016

Language:

english

File:

PDF, 568 KB

english, 2016

36

Bias and Overtaking Optimality for Continuous-Time Jump Markov Decision Processes in Polish Spaces

Quanxin Zhu and Tomás Prieto-Rumeau

Journal:

Journal of Applied Probability

Year:

2008

Language:

english

File:

PDF, 936 KB

english, 2008

37

CONDITIONALLY INDEPENDENT INCREMENT POINT PROCESSES

RICARDO VÉLEZ IBARROLA and TOMÁS PRIETO-RUMEAU

Journal:

Journal of Applied Probability

Year:

2011

Language:

english

File:

PDF, 1.58 MB

english, 2011

38

Approximation of zero-sum continuous-time Markov games under the discounted payoff criterion

Prieto-Rumeau, Tomás, Lorenzo, José María

Journal:

Year:

2015

Language:

english

File:

PDF, 667 KB

english, 2015

39

Computable approximations for continuous-time Markov decision processes on Borel spaces based on empirical measures

Anselmi, Jonatha, Dufour, François, Prieto-Rumeau, Tomás

Journal:

Journal of Mathematical Analysis and Applications

Year:

2016

Language:

english

File:

PDF, 725 KB

english, 2016

40

Discrete-time hybrid control in Borel spaces: Average cost optimality criterion

Jasso-Fuentes, Héctor, Menaldi, José-Luis, Prieto-Rumeau, Tomás, Robin, Maurice

Journal:

Journal of Mathematical Analysis and Applications

Year:

2018

Language:

english

File:

PDF, 464 KB

english, 2018

41

Computable approximations for average Markov decision processes in continuous time

Anselmi, Jonatha, Dufour, François, Prieto-Rumeau, Tomás

Journal:

Journal of Applied Probability

Year:

2018

Language:

english

File:

PDF, 313 KB

english, 2018

42

Discrete-Time Hybrid Control in Borel Spaces

Jasso-Fuentes, Héctor, Menaldi, José-Luis, Prieto-Rumeau, Tomás

Journal:

Applied Mathematics & Optimization

Year:

2018

Language:

english

File:

PDF, 566 KB

english, 2018

43

Bias and Overtaking Optimality for Continuous-Time Jump Markov Decision Processes in Polish Spaces

Zhu, Quanxin, Prieto-Rumeau, Tomás

Journal:

Journal of Applied Probability

Year:

2008

Language:

english

File:

PDF, 138 KB

english, 2008

44

Conditionally Independent Increment Point Processes

Vélez Ibarrola, Ricardo, Prieto-Rumeau, Tomás

Journal:

Journal of Applied Probability

Year:

2011

Language:

english

File:

PDF, 226 KB

english, 2011

45

Bias and Overtaking Optimality for Continuous-Time Jump Markov Decision Processes in Polish Spaces

Zhu, Quanxin, Prieto-Rumeau, Tomás

Journal:

Journal of Applied Probability

Year:

2008

File:

PDF, 138 KB

2008

46

Conditionally Independent Increment Point Processes

Vélez Ibarrola, Ricardo, Prieto-Rumeau, Tomás

Journal:

Journal of Applied Probability

Year:

2011

File:

PDF, 226 KB

2011

47

Discrete-time control with non-constant discount factor

Jasso-Fuentes, HÃ©ctor, Menaldi, JosÃ©-Luis, Prieto-Rumeau, TomÃ¡s

Journal:

Mathematical Methods of Operations Research

Year:

2020

File:

PDF, 383 KB

2020