Discrete-time risk-aware optimal switching with non-adapted costs

DOI10.1017/apr.2021.44zbMath1494.93144arXiv1910.04047OpenAlexW2979964913MaRDI QIDQ5084797

Randall Martyr, Magnus Perninge, John Moriarty

Publication date: 28 June 2022

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.04047

zbMATH Keywords

infinite horizonrisk measuresoptimal switchinghydropower planningreflected backward stochastic difference equations

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Problems with incomplete information (optimization) (49N30)

Related Items (1)

Markov risk mappings and risk-sensitive optimal prediction

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