Markov risk mappings and risk-sensitive optimal prediction

Tomasz Kosmala (), Randall Martyr and John Moriarty
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Tomasz Kosmala: Queen Mary University of London
Randall Martyr: Queen Mary University of London
John Moriarty: Queen Mary University of London

Mathematical Methods of Operations Research, 2023, vol. 97, issue 1, No 4, 116 pages

Abstract: Abstract We 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.

Keywords: Markov property; Risk measures; Optimal stopping; 60G40; 91B08; 91B06; 90C40 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s00186-022-00802-z

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