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Institut für Stochastik

Sekretariat
Kollegiengebäude Mathematik (20.30)
Zimmer 2.056 und 2.002

Adresse
Hausadresse:
Karlsruher Institut für Technologie (KIT)
Institut für Stochastik
Englerstr. 2
D-76131 Karlsruhe

Postadresse:
Karlsruher Institut für Technologie (KIT)
Institut für Stochastik
Postfach 6980
D-76049 Karlsruhe

Öffnungszeiten:

Tel.: 0721 608 43270/43265

Fax.: 0721 608 46066

Markov Decision Processes

  1. (with Riess, V.) Gas storage valuation with regime switching. 2014. arXiv
  2. (with Rieder, U.) Optimal deterministic investment strategies for insurers. Risks 1(13), 101-118, 2013. Risks
  3. (with Bayraktar, E.) A note on applications of stochastic ordering to control problems in insurance and finance. Stochastics 86(2), 330-340, 2014. arXiv
  4. (with Rieder, U.) More risk-sensitive Markov Decision Processes. Mathematics of Operations Research 39(1), 105-120, 2014. http://www.math.kit.edu/stoch/~baeuerle/seite/markov_nb/media/risk-sensitive_bauerle-rieder.pdfpdf
  5. (with Rieder, U.) Control improvement for jump-diffusion processes with applications to finance. Applied Mathematics and Optimization, 65, 1-14, 2012. pdf
  6. (with Ott, J.) Markov Decision Processes with Average-Value-at-Risk criteria. Mathematical Methods of Operations Research, 74, 361-379, 2011. pdf
  7. (with Rieder, U.) Optimal control of piecewise deterministic Markov processes with finite time horizon. In: Modern trends of controlled stochastic processes: Theory and Applications (A.B. Piunovskiy ed). Luniver Press, 144-160, 2010 pdf
  8. (with Rieder, U.) Markov Decision Processes. Jahresbericht der DMV 112(4), 217-243, 2010. pdf
  9. (with Rieder, U.) MDP Algorithms for portfolio optimization problems in pure jump markets. Finance and Stochastics 13(4), 591-611, 2009. pdf
  10. (with Mundt, A.) Dynamic Mean-Risk optimization in a binomial model. Mathematical Methods of Operations Research 70(2), 219-239, 2009. Springerlink
  11. (with Mundt, A.) A Bayesian approach to incorporate model ambiguity in a dynamic risk measure. Statistics & Decisions 26, 1001-1024, 2008. pdf
  12. (with Engelhardt-Funke, O. and Kolonko, M.) Routing of airplanes to two runways: monotonicity of optimal controls. Probability in the Engineering and Informational Sciences 18, 533-560, 2004. ps
  13. Convex stochastic fluid programs with average cost. Journal of Mathematical Analysis and Applications, 259, 137-156, 2001. ps
  14. Discounted stochastic fluid programs. Mathematics of Operations Research 26, 401-420, 2001. ps
  15. (with Brüstl, G. and Rieder, U.) Optimal scheduling in heterogeneous two station queueing networks. Mathematical Methods of Operations Research 48(1), 337-347, 1998.