Stochastic Control of Optimized Certainty Equivalents
DOI10.1137/21M1407732zbMath1498.91507arXiv2001.10108OpenAlexW3122057470MaRDI QIDQ5097215
Ludovic Tangpi, Unnamed Author, Julio Backhoff-Veraguas
Publication date: 22 August 2022
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2001.10108
comparison principleviscosity solutionsrisk measuresdynamic programming equationtime-inconsistencysingular Hamiltonian
Statistical methods; risk measures (91G70) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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