An Integrated Transportation Distance between Kernels and Approximate Dynamic Risk Evaluation in Markov Systems
DOI10.1137/22M1530665arXiv2311.06645OpenAlexW4389339674MaRDI QIDQ6140989FDOQ6140989
Authors: Andrzej Ruszczyński 
Publication date: 2 January 2024
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2311.06645
Recommendations
Statistical methods; risk measures (91G70) Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40) Optimal stochastic control (93E20) Risk models (general) (91B05)
Cites Work
- Optimal Transport
- Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
- Generating scenario trees for multistage decision problems
- Scenario tree modeling for multistage stochastic programs
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- Foundations of quantization for probability distributions
- Tree approximation for discrete time stochastic processes: a process distance approach
- A distance for multistage stochastic optimization models
- Modeling, measuring and managing risk
- Version-independence and nested distributions in multistage stochastic optimization
- Dual Stochastic Dominance and Related Mean-Risk Models
- On consistency of stochastic dominance and mean-semideviation models
- Perturbation theory for Markov chains via Wasserstein distance
- Tree Approximations of Dynamic Stochastic Programs
- On the rate of convergence in Wasserstein distance of the empirical measure
- Title not available (Why is that?)
- Dynamic monetary risk measures for bounded discrete-time processes
- Constructive quantization: approximation by empirical measures
- Title not available (Why is that?)
- Lectures on stochastic programming. Modeling and theory.
- Scenario tree generation for multiperiod financial optimization of optimal discretization
- Coherent multiperiod risk adjusted values and Bellman's principle
- Composition of time-consistent dynamic monetary risk measures in discrete time
- Risk-averse dynamic programming for Markov decision processes
- Title not available (Why is that?)
- Dynamic generation of scenario trees
- A Dual Method For Evaluation of Dynamic Risk in Diffusion Processes
- Statistical estimation of composite risk functionals and risk optimization problems
- Markov decision processes with recursive risk measures
- Adapted Wasserstein distances and stability in mathematical finance
- Title not available (Why is that?)
- Risk-averse model predictive control
- A Wasserstein-Type Distance in the Space of Gaussian Mixture Models
- Process-based risk measures and risk-averse control of discrete-time systems
- First-order sensitivity of the optimal value in a Markov decision model with respect to deviations in the transition probability function
- A concept of copula robustness and its applications in quantitative risk management
- Mini-Batch Risk Forms
- Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance
This page was built for publication: An Integrated Transportation Distance between Kernels and Approximate Dynamic Risk Evaluation in Markov Systems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6140989)
