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math.OC2023
Optimal stopping with nonlinear expectation: geometric and algorithmic solutions
Tomasz Kosmala, John Moriarty
We use the geometry of suitably generalised potentials to solve risk-sensitive Markovian optimal stopping problems. As in the linear case due to Dynkin and Yushkievich (1967), the…
math.OC2020
Markov risk mappings and risk-sensitive optimal prediction
Tomasz Kosmala, Randall Martyr, John Moriarty
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 vers…