Time-inconsistent multistage stochastic programs: martingale bounds
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Publication:320891
DOI10.1016/J.EJOR.2015.02.033zbMATH Open1346.90646DBLPjournals/eor/PflugP16OpenAlexW2064721129WikidataQ59254863 ScholiaQ59254863MaRDI QIDQ320891FDOQ320891
Authors: Georg Ch. Pflug, Alois Pichler 
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2015.02.033
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Cited In (30)
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- Who are I: time inconsistency and intrapersonal conflict and reconciliation
- Time-consistent, risk-averse dynamic pricing
- Decomposability and time consistency of risk averse multistage programs
- Optimizing conditional value-at-risk in dynamic pricing
- From empirical observations to tree models for stochastic optimization: convergence properties
- A survey on risk-averse and robust revenue management
- Optimal Control of Conditional Value-at-Risk in Continuous Time
- Some matheuristic algorithms for multistage stochastic optimization models with endogenous uncertainty and risk management
- A review of revenue management: recent generalizations and advances in industry applications
- Risk aversion in imperfect natural gas markets
- Risk-averse dynamic pricing using mean-semivariance optimization
- Additive consistency of risk measures and its application to risk-averse routing in networks
- Time Consistency for Multistage Stochastic Optimization Problems under Constraints in Expectation
- A time-consistent Benders decomposition method for multistage distributionally robust stochastic optimization with a scenario tree structure
- Time-consistent approximations of risk-averse multistage stochastic optimization problems
- On a time consistency concept in risk averse multistage stochastic programming
- Stochastic programming of time-consistent extensions of aVaR
- Mathematical foundations of distributionally robust multistage optimization
- Recursive risk measures under regime switching applied to portfolio selection
- Risk-sensitive control of Markov decision processes: a moment-based approach with target distributions
- The policy graph decomposition of multistage stochastic programming problems
- Stochastic control of optimized certainty equivalents
- Risk-averse multi-stage stochastic optimization for surveillance and operations planning of a forest insect infestation
- Inequity-averse stochastic decision processes
- On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
- Risk-averse autonomous systems: a brief history and recent developments from the perspective of optimal control
- Markov decision processes with risk-sensitive criteria: an overview
- Controlled Markov decision processes with AVaR criteria for unbounded costs
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