Time-inconsistent multistage stochastic programs: martingale bounds (Q320891): Difference between revisions
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| Property / Mathematics Subject Classification ID: 90C15 / rank | |||
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| Property / Mathematics Subject Classification ID: 90C39 / rank | |||
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| Property / Mathematics Subject Classification ID: 91B30 / rank | |||
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| Property / zbMATH DE Number: 6635760 / rank | |||
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stochastic optimization | |||
| Property / zbMATH Keywords: stochastic optimization / rank | |||
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risk measure | |||
| Property / zbMATH Keywords: risk measure / rank | |||
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average value-at-risk | |||
| Property / zbMATH Keywords: average value-at-risk / rank | |||
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dynamic programming | |||
| Property / zbMATH Keywords: dynamic programming / rank | |||
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time consistency | |||
| Property / zbMATH Keywords: time consistency / rank | |||
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Revision as of 01:56, 28 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Time-inconsistent multistage stochastic programs: martingale bounds |
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Time-inconsistent multistage stochastic programs: martingale bounds (English)
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7 October 2016
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stochastic optimization
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risk measure
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average value-at-risk
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dynamic programming
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time consistency
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