Stochastic decision problems with multiple risk-averse agents

DOI10.1007/978-3-319-66616-7_1zbMath1380.90274arXiv1611.03405MaRDI QIDQ1695076

Getachew K. Befekadu, Alexander Veremyev, Eduardo L. Pasiliao, Vladimir L. Boginski

Publication date: 6 February 2018

Full work available at URL: https://arxiv.org/abs/1611.03405

zbMATH Keywords

Pareto optimality; value functions; viscosity solutions; dynamic programming equation; forward-backward SDEs; multiple risk-averse agents; risk-averse decisions

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

90C39: Dynamic programming

90C40: Markov and semi-Markov decision processes

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games