Peak Value-at-Risk Estimation for Stochastic Differential Equations Using Occupation Measures-Reference-Cited by-同舟云学术

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Peak Value-at-Risk Estimation for Stochastic Differential Equations Using Occupation Measures

Published:2023-12-13 Issue: Volume:21 Page:4836-4842
ISSN:
Container-title:2023 62nd IEEE Conference on Decision and Control (CDC)
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Author:

Miller Jared¹,Tacchi Matteo²,Sznaier Mario³,Jasour Ashkan⁴

Affiliation:

1. ETH Zürich,Automatic Control Laboratory (IfA),Zürich,Switzerland,8092

2. EPFL,Automatic Control Laboratory,Lausanne,Switzerland,1015

3. Northeastern University,Robust Systems Lab,ECE Department,Boston,MA,02115

4. Team 347T-Robotic Aerial Mobility, Jet Propulsion Lab,Pasadena,CA,91109

Funder

NSF

AFOSR

ONR

Swiss National Science Foundation

Publisher

IEEE

Link

http://xplorestaging.ieee.org/ielx7/10383192/10383193/10383958.pdf?arnumber=10383958

Reference41 articles.

1. Coherent Measures of Risk

2. Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk

3. Conditional value-at-risk for general loss distributions

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

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