Zero-sum stochastic games with the average-value-at-risk criterion-Reference-Cited by-同舟云学术

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Zero-sum stochastic games with the average-value-at-risk criterion

Published:2023-04-10 Issue:3 Volume:31 Page:618-647
ISSN:1134-5764
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language:en
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Author:

Liu Qiuli^ORCID,Ching Wai-Ki,Guo Xianping

Funder

Innovative Research Group Project of the National Natural Science Foundation of China

Publisher

Springer Science and Business Media LLC

Subject

Discrete Mathematics and Combinatorics,Statistics and Probability,Management Science and Operations Research,Information Systems and Management,Modeling and Simulation

Link

https://link.springer.com/content/pdf/10.1007/s11750-023-00655-7.pdf

Reference30 articles.

1. Andersson F, Mausser H, Rosen D, Uryasev S (2001) Credit risk optimization with conditional value-at-risk criterion. Math Program 89:273–291

2. Basu A, Ghosh MK (2012) Zero-sum risk-sensitive stochastic differential games. Math Oper Res 37(3):437–449

3. Basu A, Ghosh MK (2014) Zero-sum risk-sensitive stochastic games on a countable state space. Stoch Proc Appl 124(1):961–983

4. Bäuerle N, Ott J (2011) Markov decision processes with average-value-at-risk criteria. Math Meth Oper Res 74:361–379

5. Bauerle N, Rieder U (2017) Zero-sum risk-sensitive stochastic games. Stochastic Process Appl 127:622–642

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