Dynamic risk measures for finite-state partially observable Markov decision problems

DOI10.1137/1.9781611974072.22MaRDI QIDQ6566266zbMATH OpenFDO

Authors Jingnan Fan, Andrzej Ruszczyński

Publication date 3 July 2024

Full work available at URL https://doi.org/10.1137/1.9781611974072.22

zbMATH Keywords

stochastic dominancetransition risk mapping

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40)

Recommendations

• Risk measurement and risk-averse control of partially observable discrete-time Markov systems
• Dynamic risk measures
• Time consistent dynamic risk measures
• Building up time-consistency for risk measures and dynamic optimization
• Time consistency of dynamic risk measures

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