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arXiv · 1910.04047

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

Randall Martyr·John Moriarty·Magnus Perninge
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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.

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Randall Martyr, John Moriarty, Magnus Perninge. 2019-10-09. Discrete-time risk-aware optimal switching with non-adapted costs. https://doi.org/10.1017/apr.2021.44

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