Risk-Averse Optimal Control in Continuous Time by Nesting Risk Measures

DOI10.1287/MOOR.2022.1314MaRDI QIDQ6121642zbMATH OpenOpenAlexFDO

Authors Alois Pichler, Ruben Schlotter

Publication date 27 February 2024

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/moor.2022.1314

zbMATH Keywords

optimal controlrisk measuresstochastic processes

Mathematics Subject Classification ID

Probability measures on topological spaces (60B05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic programming (90C15)

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• Risk-adaptive approaches to stochastic optimization: a survey
• The robust Orlicz risk with an application to the green photovoltaic power generation
• Optimal multiple stopping with model uncertainty by nested risk measures

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