Risk filtering and risk-averse control of Markovian systems subject to model uncertainty
Year of publication: |
2023
|
---|---|
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
|
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 |
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