Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping

DOI10.1287/opre.2021.2120zbMath1500.90037OpenAlexW3172733872MaRDI 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

zbMATH Keywords

stochastic programmingcoherent risk measuresdynamic equationsinventory modeloptimal stopping timetime consistencyAmerican put optionSnell envelope

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15)

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