Backward Stochastic Difference Equations and Nearly Time-Consistent Nonlinear Expectations
From MaRDI portal
Publication:2999822
DOI10.1137/090763688zbMath1225.60092OpenAlexW2134866204MaRDI QIDQ2999822
Samuel N. Cohen, Robert J. Elliott
Publication date: 17 May 2011
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/d6e01a3e78083a5bdec461d0b59cf3f74c175b11
Martingales with discrete parameter (60G42) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Individual preferences (91B08)
Related Items (23)
Maximum principle for discrete-time stochastic optimal control problem and stochastic game ⋮ Solvability of forward–backward stochastic difference equations with finite states ⋮ A numerical method for solving high-dimensional backward stochastic difference equations using sparse grids ⋮ Controllability Metrics on Networks with Linear Decision Process--type Interactions and Multiplicative Noise ⋮ Dynamic Conic Finance via Backward Stochastic Difference Equations ⋮ Stochastic difference equations with the Allee effect ⋮ A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management ⋮ Discrete-time risk-aware optimal switching with non-adapted costs ⋮ On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation ⋮ Maximum principle for stochastic optimal control problem of forward–backward stochastic difference systems ⋮ Tail VaR Measures in a Multi-period Setting ⋮ Maximum principle for stochastic optimal control problem of finite state forward‐backward stochastic difference systems ⋮ Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation ⋮ Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning ⋮ Solvability of general fully coupled forward–backward stochastic difference equations with delay and applications ⋮ Representing filtration consistent nonlinear expectations as \(g\)-expectations in general probability spaces ⋮ A generalized Girsanov transformation of finite state stochastic processes in discrete time ⋮ Jump-filtration consistent nonlinear expectations with \(\mathbb{L}^p\) domains ⋮ Existence, uniqueness and comparisons for BSDEs in general spaces ⋮ A general comparison theorem for backward stochastic differential equations ⋮ A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective ⋮ Gittins' theorem under uncertainty ⋮ A maximum principle for fully coupled controlled forward-backward stochastic difference systems of mean-field type
This page was built for publication: Backward Stochastic Difference Equations and Nearly Time-Consistent Nonlinear Expectations
