Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping
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Publication:5106377
DOI10.1287/opre.2021.2120zbMath1500.90037MaRDI QIDQ5106377
Alois Pichler, Alexander Shapiro, Rui Peng Liu
Publication date: 19 September 2022
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.2021.2120
stochastic programming; coherent risk measures; dynamic equations; inventory model; optimal stopping time; time consistency; American put option; Snell envelope
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