Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping (Q5106377): Difference between revisions

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Latest revision as of 04:31, 30 July 2024

scientific article; zbMATH DE number 7587533
Language Label Description Also known as
English
Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping
scientific article; zbMATH DE number 7587533

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    Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping (English)
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    19 September 2022
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    stochastic programming
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    coherent risk measures
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    time consistency
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    dynamic equations
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    optimal stopping time
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    Snell envelope
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    inventory model
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    American put option
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