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• W1883131750 abstract "We introduce the concept of a continuous-time Markov risk measure for controlled diffusion processes. We use it to formulate a risk-averse control problem where the costs are accumulated during the evolution of a forward stochastic differential equation. Relying on the Markovian structure of a decoupled forward--backward system of stochastic differential equations, we obtain the corresponding dynamic programming equation. We also show that the optimal value function is a viscosity solution of a risk-averse analog of the Hamilton--Jacobi--Bellman equation and we prove a verification theorem. Finally, by using a special mollification procedure, we show that piecewise constant control can accurately approximate the optimal control, and we establish the corresponding error bound." @default.
• W1883131750 created "2016-06-24" @default.
• W1883131750 creator A5014600365 @default.
• W1883131750 creator A5073905682 @default.
• W1883131750 date "2015-08-21" @default.
• W1883131750 modified "2023-10-11" @default.
• W1883131750 title "Risk-Averse Control of Diffusion Processes" @default.
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• W1883131750 hasPublicationYear "2015" @default.
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