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

DOI10.1017/APR.2021.44MaRDI QIDQ5084797zbMATHOpenAlexFDO

Authors Randall Martyr, John Moriarty, Magnus Perninge

Publication date 28 June 2022

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

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

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)

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.

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Cited in

(4)

• Management strategies for run-of-river hydropower plants: an optimal switching approach
• Markov decision processes with risk-sensitive criteria: an overview
• Markov risk mappings and risk-sensitive optimal prediction
• A note on reflected BSDEs in infinite horizon with stochastic Lipschitz coefficients

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