Abstract
AbstractWe 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.
Funder
Engineering and Physical Sciences Research Council
Lloyd’s Register Foundation
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Mathematics,Software