Markov risk mappings and risk-sensitive optimal prediction

Tomasz Kosmala, Randall Martyr and John Moriarty

Papers from arXiv.org

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.

Date: 2020-01, Revised 2022-09
New Economics Papers: this item is included in nep-rmg and nep-upt
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