{"paper":{"title":"A BSDE approach to the asymmetric risk-sensitive optimization and its applications","license":"http://creativecommons.org/licenses/by/4.0/","headline":"","cross_cats":["math.PR"],"primary_cat":"math.OC","authors_text":"Mingshang Hu, Rundong Xu, Shaolin Ji, Xiaole Xue","submitted_at":"2023-05-16T13:42:36Z","abstract_excerpt":"This paper is devoted to proposing a new asymmetric risk-sensitive criterion involving different risk attitudes toward varying risk sources. The criterion can only be defined through the initial value of the minimal solutions of quadratic backward stochastic differential equations (BSDEs). Before uncovering the mean-variance representation for the introduced criterion by the variational approach, some axioms are given for the first time to characterize a variance decomposition of square integrable random variables. The stochastic control problems under this criterion are described as a kind of"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2305.09430","kind":"arxiv","version":4},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2305.09430/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}