Discrete-time risk-aware optimal switching with non-adapted costs

Randall Martyr, John Moriarty and Magnus Perninge
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Randall Martyr: Queen Mary University of London
John Moriarty: Queen Mary University of London
Magnus Perninge: Linnaeus University

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Abstract: We solve non-Markovian optimal switching problems in discrete time on an infinite horizon, when the decision maker is risk aware and the filtration is general, and establish existence and uniqueness of solutions for the associated reflected backward stochastic difference equations. An example application to hydropower planning is provided.

Date: 2019-10, Revised 2021-09
New Economics Papers: this item is included in nep-mic, nep-rmg and nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1910.04047

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