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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2024
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2404.13371 |
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| _version_ | 1866917184917209088 |
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| author | Hsieh, Chung-Han Wong, Yi-Shan |
| author_facet | Hsieh, Chung-Han Wong, Yi-Shan |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2404_13371 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | On Risk-Sensitive Decision Making Under Uncertainty Hsieh, Chung-Han Wong, Yi-Shan Optimization and Control Systems and Control Computational Finance Methodology 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. |
| title | On Risk-Sensitive Decision Making Under Uncertainty |
| topic | Optimization and Control Systems and Control Computational Finance Methodology |
| url | https://arxiv.org/abs/2404.13371 |