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Mathematics > Optimization and Control

Title: On Risk-Sensitive Decision Making Under Uncertainty

Abstract: This paper studies a risk-sensitive decision-making problem under uncertainty. It considers a decision-making process that unfolds over a fixed number of stages, in which a decision-maker chooses among multiple alternatives, some of which are deterministic and others are stochastic. The decision-maker's cumulative value is updated at each stage, reflecting the outcomes of the chosen alternatives. After formulating this as a stochastic control problem, we delineate the necessary optimality conditions for it. Two illustrative examples from optimal betting and inventory management are provided to support our theory.
Comments: submitted for possible publication
Subjects: Optimization and Control (math.OC); Systems and Control (eess.SY); Computational Finance (q-fin.CP); Methodology (stat.ME)
Cite as: arXiv:2404.13371 [math.OC]
  (or arXiv:2404.13371v1 [math.OC] for this version)

Submission history

From: Chung-Han Hsieh [view email]
[v1] Sat, 20 Apr 2024 13:16:05 GMT (242kb)

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