2004-03-25Buch DOI: 10.18452/8316
Conditional Risk Mappings
We introduce an axiomatic definition of a conditional convex risk mapping and we derive its properties. In particular, we prove a representation theorem for conditional risk mappings in terms of conditional expectations. We also develop dynamic programming relations for multistage optimization problems involving conditional risk mappings.
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Is Part Of Series: Stochastic Programming E-Print Series - 9, SPEPS