Markov risk mappings and risk-sensitive optimal prediction

DOI10.1007/S00186-022-00802-ZMaRDI QIDQ6333142arXivFDO

Authors Tomasz Kosmala, Randall Martyr, John Moriarty

Publication date 19 January 2020

Published in arXiv

Full work available at URL https://doi.org/10.1007/S00186-022-00802-Z

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Markov and semi-Markov decision processes (90C40) Decision theory (91B06) Individual preferences (91B08)

arXiv classification

math.OCmath.PRq-fin.MF

Abstract: We formulate a probabilistic Markov property in discrete time under a dynamic risk framework with minimal assumptions. This is useful for recursive solutions to risk-sensitive versions of dynamic optimisation problems such as optimal prediction, where at each stage the recursion depends on the whole future. The property holds for standard measures of risk used in practice, and is formulated in several equivalent versions including a representation via acceptance sets, a strong version, and a dual representation.

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