Optimal Control of Conditional Value-at-Risk in Continuous Time-Reference-Cited by-同舟云学术

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Optimal Control of Conditional Value-at-Risk in Continuous Time

Published:2017-01 Issue:2 Volume:55 Page:856-884
ISSN:0363-0129
Container-title:SIAM Journal on Control and Optimization
language:en
Short-container-title:SIAM J. Control Optim.

Author:

Miller Christopher W.,Yang Insoon

Funder

National Science Foundation

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Control and Optimization

Link

https://epubs.siam.org/doi/pdf/10.1137/16M1058492

Reference49 articles.

1. Optimal Control of a Multistate Failure-Prone Manufacturing System under a Conditional Value-at-Risk Cost Criterion

2. Coherent Measures of Risk

3. Coherent multiperiod risk adjusted values and Bellman’s principle

4. Convex Control Systems and Convex Optimal Control Problems With Constraints

5. Convergence of approximation schemes for fully nonlinear second order equations

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