A dynamic analytic method for risk-aware controlled martingale problems (Q6104008): Difference between revisions

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scientific article; zbMATH DE number 7692302

Language	Label	Description	Also known as
English	A dynamic analytic method for risk-aware controlled martingale problems	scientific article; zbMATH DE number 7692302

Statements

scholarly article

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A dynamic analytic method for risk-aware controlled martingale problems (English)

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Jukka Isohätälä

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William B. Haskell

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The Annals of Applied Probability

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publication date

5 June 2023

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full work available at URL

https://arxiv.org/abs/2006.12450

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zbMATH Keywords

forward equation

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martingale problems

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nonlinear programming

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optimal control

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stochastic processes

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MaRDI profile type

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Dynamic Risk Measures

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Are law-invariant risk functions concave on distributions?

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Performance and Scalability of the Block Low-Rank Multifrontal Factorization on Multicore Architectures

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A Fully Asynchronous Multifrontal Solver Using Distributed Dynamic Scheduling

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Discrete-Time Controlled Markov Processes with Average Cost Criterion: A Survey

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Coherent Measures of Risk

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More Risk-Sensitive Markov Decision Processes

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Mean Field Games and Mean Field Type Control Theory

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Occupation measures for controlled Markov processes: Characterization and optimality

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Invariant measures and evolution equations for Markov processes characterized via martingale problems

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On convergence determining and separating classes of functions

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On Existence of Limit Occupational Measures Set of a Controlled Stochastic Differential Equation

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A convex analytic approach to Markov decision processes

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Controlled diffusion processes

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Probabilistic Theory of Mean Field Games with Applications II

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Linear Programming Formulation for Optimal Stopping Problems

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Real Analysis and Probability

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Convex measures of risk and trading constraints

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RISK MEASURES ON P(R) AND VALUE AT RISK WITH PROBABILITY/LOSS FUNCTION

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Discounted continuous-time constrained Markov decision processes in Polish spaces

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A Convex Analytic Approach to Risk-Aware Markov Decision Processes

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Linear programming approach to the optimal stopping of singular stochastic processes

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Infinite Linear Programming and Multichain Markov Control Processes in Uncountable Spaces

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Risk Aware Minimum Principle for Optimal Control of Stochastic Differential Equations

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Existence of Markov Controls and Characterization of Optimal Markov Controls

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Stationary solutions and forward equations for controlled and singular martingale problems

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Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application

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Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness

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Linear Programming and Sequential Decisions

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Approximation of Infinite-Dimensional Linear Programming Problems which Arise in Stochastic Control

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Mean-field Markov decision processes with common noise and open-loop controls

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Stochastic differential equations, backward SDEs, partial differential equations

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Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation

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A General Stochastic Maximum Principle for Optimal Control Problems

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Discrete time McKean-Vlasov control problem: a dynamic programming approach

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Randomized and Relaxed Strategies in Continuous-Time Markov Decision Processes

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Discounted Continuous-Time Markov Decision Processes with Unbounded Rates: The Convex Analytic Approach

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Risk measures via \(g\)-expectations

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Optimization of Convex Risk Functions

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Time-average control of martingale problems: Existence of a stationary solution

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Time-average control of martingale problems: A linear programming formulation

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Infinite-Dimensional Linear Programming Approach to SingularStochastic Control

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Optimal Transport

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On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1214/22-AAP1794

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Sitelinks

Mathematics(1 entry)

mardi Publication:6104008

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