Daniel Cruz-Suárez

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This paper deals with infinite horizon Markov Decision Processes (MDPs) on Borel spaces. The objective function considered, induced by a nonnegative and (possibly) unbounded cost, is the expected total discounted cost. For each of the MDPs analized, the existence of a unique optimal policy is assumed. Conditions that guarantee both pointwise and uniform(More)
In this paper a discrete-time reserve process with a fixed barrier is presented and modelled as a discounted Markov Decision Process. The non-payment of dividends is penalized. The minimization of this penalty results in an optimal control problem. This work focuses on determining the sequence of premiums that minimize penalty costs, and obtaining a rate(More)
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