Dynamic consistency for stochastic optimal control problems

DOI10.1007/s10479-011-1027-8zbMath1255.90124arXiv1005.3605OpenAlexW2049733326MaRDI QIDQ1931661

Pierre Carpentier, Guy Cohen, Michel De Lara, Pierre Girardeau, Jean-Philippe Chancelier

Publication date: 15 January 2013

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1005.3605

zbMATH Keywords

risk measuresdynamic consistency

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimal stochastic control (93E20)

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