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Discrete-time risk-aware optimal switching with non-adapted costs
Kingston University, UK.ORCID iD: 0000-0002-2860-9585
Queen Mary University of London, UK.ORCID iD: 0000-0002-4520-4133
Linnaeus University, Faculty of Technology, Department of Physics and Electrical Engineering. (Waves signals and systems, EPHS, Stochastic Analysis and Stochastic Processes)ORCID iD: 0000-0003-3111-4820
2022 (English)In: Advances in Applied Probability, ISSN 0001-8678, E-ISSN 1475-6064, Vol. 54, no 2, p. 625-655Article in journal (Refereed) Published
Sustainable development
SDG 12: Ensure sustainable consumption and production patterns, SDG 8: Promote sustained, inclusive and sustainable economic growth, full and productive employment and decent work for all
Abstract [en]

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 differenceequations. An example application to hydropower planning is provided
Place, publisher, year, edition, pages
Cambridge University Press, 2022. Vol. 54, no 2, p. 625-655
Keywords [en]
infinite horizon, optimal switching, risk measures, reflected backward stochastic difference equations, hydropower planning.
National Category
Control Engineering
Research subject
Mathematics, Applied Mathematics
Identifiers
URN: urn:nbn:se:lnu:diva-107456DOI: 10.1017/apr.2021.44ISI: 000812842300010Scopus ID: 2-s2.0-85132006319OAI: oai:DiVA.org:lnu-107456DiVA, id: diva2:1602775
Funder
Swedish Energy Agency, 42982-1 och 48405-1Available from: 2021-10-13 Created: 2021-10-13 Last updated: 2023-08-15Bibliographically approved

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Perninge, Magnus

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