Discrete-time risk-aware optimal switching with non-adapted costs. Martyr, R., Moriarty, J., & Perninge, M. Advances in Applied Probability, 54(2):625–655, June, 2022.
Paper doi bibtex @Article{Martyr:2022:DTR,
author = "Randall Martyr and John Moriarty and Magnus Perninge",
title = "Discrete-time risk-aware optimal switching with
non-adapted costs",
journal = j-ADV-APPL-PROB,
volume = "54",
number = "2",
pages = "625--655",
month = jun,
year = "2022",
CODEN = "AAPBBD",
DOI = "https://doi.org/10.1017/apr.2021.44",
ISSN = "0001-8678 (print), 1475-6064 (electronic)",
ISSN-L = "0001-8678",
bibdate = "Tue Jun 14 12:21:30 MDT 2022",
bibsource = "http://www.math.utah.edu/pub/tex/bib/advapplprob.bib",
URL = "https://www.cambridge.org/core/journals/advances-in-applied-probability/article/discretetime-riskaware-optimal-switching-with-nonadapted-costs/87E00698A0D43DCF0365C050F5FD5FC4",
acknowledgement = ack-nhfb,
fjournal = "Advances in Applied Probability",
journal-URL = "http://www.jstor.org/journals/00018678.html;
https://www.cambridge.org/core/journals/advances-in-applied-probability;
http://projecteuclid.org/euclid.aap/",
onlinedate = "06 June 2022",
}
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