Discrete-time risk-aware optimal switching with non-adapted costs

• We solve non-Markovian optimal switching problems in discrete time on an infinite horizon, when the decision maker is risk aware and the filtration is general, and establish existence and uniqueness of solutions for the associated reflected backward stochastic differenceequations. An example application to hydropower planning is provided

Ämnesord

TEKNIK OCH TEKNOLOGIER  -- Elektroteknik och elektronik -- Reglerteknik (hsv//swe)

ENGINEERING AND TECHNOLOGY  -- Electrical Engineering, Electronic Engineering, Information Engineering -- Control Engineering (hsv//eng)

Nyckelord

infinite horizon

optimal switching

risk measures

reflected backward stochastic difference equations

hydropower planning.

Tillämpad matematik

Applied Mathematics

Publikations- och innehållstyp

ref (ämneskategori)

art (ämneskategori)