Time-inconsistent multistage stochastic programs: martingale bounds (Q320891)
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scientific article; zbMATH DE number 6635760
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| English | Time-inconsistent multistage stochastic programs: martingale bounds |
scientific article; zbMATH DE number 6635760 |
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Time-inconsistent multistage stochastic programs: martingale bounds (English)
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7 October 2016
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stochastic optimization
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risk measure
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average value-at-risk
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dynamic programming
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time consistency
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0.8422134518623352
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0.839531660079956
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0.8372415900230408
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0.8171826601028442
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