Discrete-time risk-aware optimal switching with non-adapted costs

DOI10.1017/APR.2021.44zbMATH Open1494.93144arXiv1910.04047OpenAlexW2979964913MaRDI QIDQ5084797FDOQ5084797

Authors: Randall Martyr, John Moriarty, Magnus Perninge 

Publication date: 28 June 2022

Published in: Advances in Applied Probability (Search for Journal in Brave)

Abstract: We solve non-Markovian optimal switching problems in discrete time on an infinite horizon, when the decision maker is risk aware and the filtration is general, and establish existence and uniqueness of solutions for the associated reflected backward stochastic difference equations. An example application to hydropower planning is provided.

Full work available at URL: https://arxiv.org/abs/1910.04047

Recommendations

• A finite horizon optimal switching problem with memory and application to controlled SDDEs
• Finite-horizon optimal multiple switching with signed switching costs
• Dynamic programming for discrete-time finite-horizon optimal switching problems with negative switching costs
• Optimal switching at Poisson random intervention times
• A finite horizon optimal multiple switching problem

zbMATH Keywords

risk measuresoptimal switchinginfinite horizonhydropower planningreflected backward stochastic difference equations

Mathematics Subject Classification ID

Problems with incomplete information (optimization) (49N30) Stopping times; optimal stopping problems; gambling theory (60G40) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

Cites Work

• Conditional and dynamic convex risk measures
• Dynamic monetary risk measures for bounded discrete-time processes
• Risk-sensitive Markov control processes
• Lectures on stochastic programming. Modeling and theory.
• Representations for optimal stopping under dynamic monetary utility functionals
• Stochastic finance. An introduction in discrete time.
• Composition of time-consistent dynamic monetary risk measures in discrete time
• Risk-averse dynamic programming for Markov decision processes
• Multistage stochastic optimization
• Backward stochastic difference equations and nearly time-consistent nonlinear expectations
• Conditional Risk Mappings
• Valuation of energy storage: an optimal switching approach
• Stochastic optimal growth model with risk sensitive preferences
• Robust optimal control using conditional risk mappings in infinite horizon
• On optimal policies and martingales in dynamic programming
• Title not available (Why is that?)
• Martingale characterizations of risk-averse stochastic optimization problems

Cited In (3)

• A note on reflected BSDEs in infinite horizon with stochastic Lipschitz coefficients
• Markov decision processes with risk-sensitive criteria: an overview
• Markov risk mappings and risk-sensitive optimal prediction

This page was built for publication: Discrete-time risk-aware optimal switching with non-adapted costs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5084797)