Time-inconsistent multistage stochastic programs: martingale bounds

DOI10.1016/J.EJOR.2015.02.033zbMath1346.90646DBLPjournals/eor/PflugP16OpenAlexW2064721129WikidataQ59254863 ScholiaQ59254863MaRDI QIDQ320891

Georg Ch. Pflug, Alois Pichler

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2015.02.033

zbMATH Keywords

stochastic optimizationdynamic programmingrisk measureaverage value-at-risktime consistency

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39)

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