Markov Decision Processes with Applications to Finance

By Nicole Bäuerle, Ulrich Rieder. 2011

438 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Economics and Econometrics, Industrial and Manufacturing Engineering

View Paper: https://www.semanticscholar.org/paper/87343bc1f0ce490354a343e6b643ac8176e6f354

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Artificial Intelligence

1. Eugene A. Feinberg
2. Ivo Grondman

In Economics and Econometrics

1. Eugene A. Feinberg
2. Ivo Grondman

In Industrial and Manufacturing Engineering

1. Eugene A. Feinberg
2. Ivo Grondman

Citations in the corpus

• Online Model Learning Algorithms for Actor-Critic Control (2015, methodology): “This section introduces the concepts of finite horizon Markov Decision Processes, partly based on the definitions given by Bäuerle and Rieder (2011), but combined with notations used throughout this thesis and ideas by Bhatnagar and Abdulla (2008).”
• Optimality Conditions for Inventory Control (2016, background): “Except for problems with discrete transition probabilities or with transition probabilities having densities (see Bäuerle and Rieder [3], Bensoussan [4]), almost nothing had been known until recently about the existence of optimal policies for POMDPs and how to find them.”