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Discrete-time risk-aware optimal switching with non-adapted costs
Part of
Randall Martyr, John Moriarty, Magnus Perninge
Journal:

Advances in Applied Probability / Volume 54 / Issue 2 / June 2022

Published online by Cambridge University Press:

06 June 2022, pp. 625-655

Print publication:

June 2022
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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.

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