Optimal Control of Conditional Value-at-Risk in Continuous Time (Q5347544)
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scientific article; zbMATH DE number 6722970
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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