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Latest revision as of 20:43, 13 July 2024

scientific article; zbMATH DE number 6722970
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English
Optimal Control of Conditional Value-at-Risk in Continuous Time
scientific article; zbMATH DE number 6722970

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    Optimal Control of Conditional Value-at-Risk in Continuous Time (English)
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    24 May 2017
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    conditional value-at-risk
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    risk measures
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    time inconsistency
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    stochastic optimal control
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    Hamilton-Jacobi-Bellman equations
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    viscosity solutions
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    dynamic programming
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