Time-Coherent Risk Measures for Continuous-Time Markov Chains (Q4579838)

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scientific article; zbMATH DE number 6915874
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Time-Coherent Risk Measures for Continuous-Time Markov Chains
scientific article; zbMATH DE number 6915874

    Statements

    title
    Time-Coherent Risk Measures for Continuous-Time Markov Chains (English)
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    DOI
    10.1137/16M1063794
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    author
    Dentcheva, Darinka
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    Ruszczyński, Andrzej
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    publication date
    10 August 2018
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    zbMATH DE Number
    6915874
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    zbMATH Keywords
    dynamic risk measures
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    time consistency
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    risk multikernels
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    risk multigenerators
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    backward equations
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    discrete-time approximations
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    arXiv ID
    1701.08453
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    cites work
    Q3943520
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    Set-valued analysis
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    Q4277838
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    Q4550909
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    Q3526970
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    Q3528030
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    Variational Analysis
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    OpenAlex ID
    W2963199165
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    Wikidata QID
    Q129734747
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