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Optimal Dynamic Risk Taking

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DOI10.1287/MOOR.2016.0819zbMath1377.93181OpenAlexW3121507243MaRDI QIDQ5359112

Baozhong Yang, Ajay Subramanian

Publication date: 22 September 2017

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

Full work available at URL: https://doi.org/10.1287/moor.2016.0819

zbMATH Keywords

stochastic control stochastic switching dynamic risk management dynamic project choices

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Optimal stopping in statistics (62L15)

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