Risk filtering and risk-averse control of Markovian systems subject to model uncertainty
Tomasz R. Bielecki, Igor Cialenco, Andrzej Ruszczyński
| Year of publication: |
2023
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|---|---|
| Authors: | Bielecki, Tomasz R. ; Cialenco, Igor ; Ruszczyński, Andrzej P. |
| Published in: |
Mathematical methods of operations research : ZOR. - Berlin : Springer, ISSN 1432-5217, ZDB-ID 1459420-1. - Vol. 98.2023, 2, p. 231-268
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| Subject: | Dynamic measures of risk | Dynamic programming | Markov decision processes | Model uncertainty | Risiko | Risk | Markov-Kette | Markov chain | Theorie | Theory | Risikoaversion | Risk aversion | Dynamische Optimierung | Entscheidung unter Unsicherheit | Decision under uncertainty | Entscheidung | Decision | Mathematische Optimierung | Mathematical programming | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00186-023-00834-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014423851