Optimal Control of Conditional Value-at-Risk in Continuous Time
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Publication:5347544
DOI10.1137/16M1058492zbMath1366.49031arXiv1512.05015MaRDI QIDQ5347544
Insoon Yang, Christopher W. Miller
Publication date: 24 May 2017
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1512.05015
dynamic programmingstochastic optimal controlHamilton-Jacobi-Bellman equationstime inconsistencyviscosity solutionsrisk measuresconditional value-at-risk
Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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