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Kerem Ugurlu, University of Washington

Title: Optimal Control of MDP's with Unbounded Cost on Infinite Horizon

Abstract: We use Markov risk measures to formulate a risk averse version of a total cost problem on a controlled Markov process in infinite horizon. The one step costs are in L^1 but not necessarily bounded. We derive the conditions for the existence of the optimal strategies and present the robust dynamic programing equations. We illustrate our results in an optimal investment problem on infinite horizon.

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Mathematical Finance Master's Program

Department of Mathematics, Hill 348
Hill Center for Mathematical Sciences
Rutgers, The State University of New Jersey
110 Frelinghuysen Road
Piscataway, NJ 08854-8019

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