Process-based risk measures and risk-averse control of discrete-time systems

DOI10.1007/S10107-018-1349-2zbMATH Open1489.90077arXiv1411.2675OpenAlexW3121615167WikidataQ128910480 ScholiaQ128910480MaRDI QIDQ2118073FDOQ2118073

Authors: Jingnan Fan, Andrzej Ruszczyński 

Publication date: 22 March 2022

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Abstract: For controlled discrete-time stochastic processes we introduce a new class of dynamic risk measures, which we call process-based. Their main features are that they measure risk of processes that are functions of the history of a base process. We introduce a new concept of conditional stochastic time consistency and we derive the structure of process-based risk measures enjoying this property. We show that they can be equivalently represented by a collection of static law-invariant risk measures on the space of functions of the state of the base process. We apply this result to controlled Markov processes and we derive dynamic programming equations.

Full work available at URL: https://arxiv.org/abs/1411.2675

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zbMATH Keywords

dynamic programmingmultistage stochastic programmingtime consistencydynamic risk measures

Mathematics Subject Classification ID

Dynamic programming (90C39) Stochastic programming (90C15) Markov and semi-Markov decision processes (90C40)

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Cited In (4)

• An Integrated Transportation Distance between Kernels and Approximate Dynamic Risk Evaluation in Markov Systems
• Markov chains under nonlinear expectation
• Risk filtering and risk-averse control of Markovian systems subject to model uncertainty
• Markov risk mappings and risk-sensitive optimal prediction

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