Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping (Q5106377)
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scientific article; zbMATH DE number 7587533
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping |
scientific article; zbMATH DE number 7587533 |
Statements
Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping (English)
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19 September 2022
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stochastic programming
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coherent risk measures
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time consistency
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dynamic equations
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optimal stopping time
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Snell envelope
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inventory model
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American put option
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