Optimal Control of Conditional Value-at-Risk in Continuous Time (Q5347544)
From MaRDI portal
scientific article; zbMATH DE number 6722970
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Control of Conditional Value-at-Risk in Continuous Time |
scientific article; zbMATH DE number 6722970 |
Statements
Optimal Control of Conditional Value-at-Risk in Continuous Time (English)
0 references
24 May 2017
0 references
conditional value-at-risk
0 references
risk measures
0 references
time inconsistency
0 references
stochastic optimal control
0 references
Hamilton-Jacobi-Bellman equations
0 references
viscosity solutions
0 references
dynamic programming
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
