Pith. sign in

REVIEW

Markov risk mappings and risk-sensitive optimal prediction

Not yet reviewed by Pith; the record is open.

This paper has not been read by Pith yet. Machine review is queued; the pith claim, tier, and objections will appear here once it completes.

SPECIMEN: schema-true, not a live event

T0 review · schema-true

One-sentence machine reading of the paper's core claim.

pith:XXXXXXXX · record.json · timestamp

arxiv 2001.06895 v4 pith:MFQRNZM7 submitted 2020-01-19 math.OC math.PRq-fin.MF

classification math.OCmath.PRq-fin.MF
keywords riskdynamicmarkovoptimalpredictionpropertyrepresentationrisk-sensitive
verification ladder T0 review T1 audit T2 compute T3 formal
0 comments
read the original abstract

We formulate a probabilistic Markov property in discrete time under a dynamic risk framework with minimal assumptions. This is useful for recursive solutions to risk-sensitive versions of dynamic optimisation problems such as optimal prediction, where at each stage the recursion depends on the whole future. The property holds for standard measures of risk used in practice, and is formulated in several equivalent versions including a representation via acceptance sets, a strong version, and a dual representation.

Discussion (0). Sign in to comment.

Pith tools