Markov risk mappings and risk-sensitive optimal prediction

DOI10.1007/s00186-022-00802-zOpenAlexW4310276762MaRDI QIDQ2699029

Tomasz Kosmala, Randall Martyr, John Moriarty

Publication date: 26 April 2023

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.06895

zbMATH Keywords

optimal stoppingMarkov propertyrisk measures

Mathematics Subject Classification ID

Decision theory (91B06) Stopping times; optimal stopping problems; gambling theory (60G40) Markov and semi-Markov decision processes (90C40) Individual preferences (91B08)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stochastic finance. An introduction in discrete time.
• Risk-averse dynamic programming for Markov decision processes
• Dynamic monetary risk measures for bounded discrete-time processes
• The trap of complacency in predicting the maximum
• A general theory of finite state backward stochastic difference equations
• Markov set-chains
• Disintegration of dominated monotone sublinear functionals on the space of measurable functions
• Conditional essential suprema with applications
• Risk measurement and risk-averse control of partially observable discrete-time Markov systems
• Kolmogorov-type and general extension results for nonlinear expectations
• Process-based risk measures and risk-averse control of discrete-time systems
• Risk forms: representation, disintegration, and application to partially observable two-stage systems
• Martingale characterizations of risk-averse stochastic optimization problems
• Conditional nonlinear expectations
• On monotone dominated sublinear functionals on the space of measurable functions
• Statistical estimation of composite risk functionals and risk optimization problems
• Imprecise continuous-time Markov chains
• Coherent multiperiod risk adjusted values and Bellman's principle
• Nonlinear expectations and nonlinear Markov chains
• Conditional and dynamic convex risk measures
• Coherent Measures of Risk
• Solutions of Backward Stochastic Differential Equations on Markov Chains
• Risk-Sensitive Markov Control Processes
• A General ‘Bang-Bang’ Principle for Predicting the Maximum of a Random Walk
• Probability and Stochastics
• Advanced Mathematical Methods for Finance
• Two Rationales Behind the ‘Buy-And-Hold or Sell-At-Once’ Strategy
• Convex risk measures and the dynamics of their penalty functions
• IMPRECISE MARKOV CHAINS AND THEIR LIMIT BEHAVIOR
• Optimal prediction of the ultimate maximum of Brownian motion
• Partially Observable Risk-Sensitive Markov Decision Processes
• Discrete-time risk-aware optimal switching with non-adapted costs
• More Risk-Sensitive Markov Decision Processes
• Risk-Averse Control of Undiscounted Transient Markov Models
• Markov chains under nonlinear expectation

This page was built for publication: Markov risk mappings and risk-sensitive optimal prediction