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Discrete-time risk-aware optimal switching with non-adapted costs

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  • Randall Martyr

    (Queen Mary University of London)

  • John Moriarty

    (Queen Mary University of London)

  • Magnus Perninge

    (Linnaeus University)

Abstract

We solve non-Markovian optimal switching problems in discrete time on an infinite horizon, when the decision maker is risk aware and the filtration is general, and establish existence and uniqueness of solutions for the associated reflected backward stochastic difference equations. An example application to hydropower planning is provided.

Suggested Citation

  • Randall Martyr & John Moriarty & Magnus Perninge, 2019. "Discrete-time risk-aware optimal switching with non-adapted costs," Papers 1910.04047, arXiv.org, revised Sep 2021.
    • Handle: RePEc:arx:papers:1910.04047
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    References listed on IDEAS

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