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Discrete-time risk-aware optimal switching with non-adapted costs
Published online by Cambridge University Press: 06 June 2022
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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- © The Author(s), 2022. Published by Cambridge University Press on behalf of Applied Probability Trust
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