Martingale characterizations of risk-averse stochastic optimization problems

DOI10.1007/S10107-019-01391-2zbMath1445.90068arXiv1802.03639OpenAlexW2963047631MaRDI QIDQ2189445

Alois Pichler, Ruben Schlotter

Publication date: 15 June 2020

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.03639

zbMATH Keywords

stochastic optimizationstochastic processesrisk measures

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Probability measures on topological spaces (60B05) Stochastic programming (90C15)

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