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Risk filtering and risk-averse control of partially observable Markov jump processes
Descriptive
TitleInfo
Title
Risk filtering and risk-averse control of partially observable Markov jump processes
Name
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NamePart
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Yan
NamePart
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Ruofan
NamePart
(type = date)
1989-
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Ruofan Yan
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author
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Feehan
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Paul
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Paul Feehan
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Advisory Committee
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chair
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Ruszczynski
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Andrzej
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Andrzej Ruszczynski
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Advisory Committee
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internal member
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Ocone
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Daniel
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Daniel Ocone
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Advisory Committee
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internal member
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Dentcheva
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Darinka
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Darinka Dentcheva
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Advisory Committee
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Rutgers University
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degree grantor
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School of Graduate Studies
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school
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Text
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theses
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2018
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2018-01
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2018
Place
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xx
Language
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eng
Abstract
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In this dissertation, we provide a theory of time-consistent dynamic risk measures for partially observable Markov jump processes in continuous time. By introducing risk filters, which are new two-stage risk measures, we show that the risk measure of a partially observable system can be represented as a risk measure of a fully observable system that is defined by a g-evaluation. The innovation process of the original system is the Brownian Motion driving the new fully observable system. Furthermore, we introduce a risk-averse control problem for the partially observable system and we derive a risk-averse dynamic programming equation.
Subject
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Topic
Mathematics
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Rutgers University Electronic Theses and Dissertations
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ETD_8571
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electronic resource
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Extent
1 online resource (vii, 61 p.)
Note
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Ph.D.
Note
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Includes bibliographical references
Subject
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Topic
Risk--Measurement
Note
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by Ruofan Yan
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Title
School of Graduate Studies Electronic Theses and Dissertations
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rucore10001600001
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doi:10.7282/T3D221VW
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ETD doctoral
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Rights
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The author owns the copyright to this work.
RightsHolder
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Name
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Yan
GivenName
Ruofan
Role
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Permission or license
DateTime
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2017-12-18 14:39:57
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Ruofan Yan
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Affiliation
Rutgers University. School of Graduate Studies
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Author Agreement License
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I hereby grant to the Rutgers University Libraries and to my school the non-exclusive right to archive, reproduce and distribute my thesis or dissertation, in whole or in part, and/or my abstract, in whole or in part, in and from an electronic format, subject to the release date subsequently stipulated in this submittal form and approved by my school. I represent and stipulate that the thesis or dissertation and its abstract are my original work, that they do not infringe or violate any rights of others, and that I make these grants as the sole owner of the rights to my thesis or dissertation and its abstract. I represent that I have obtained written permissions, when necessary, from the owner(s) of each third party copyrighted matter to be included in my thesis or dissertation and will supply copies of such upon request by my school. I acknowledge that RU ETD and my school will not distribute my thesis or dissertation or its abstract if, in their reasonable judgment, they believe all such rights have not been secured. I acknowledge that I retain ownership rights to the copyright of my work. I also retain the right to use all or part of this thesis or dissertation in future works, such as articles or books.
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2018-01-31
DateTime
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2018-08-02
Type
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Detail
Access to this PDF has been restricted at the author's request. It will be publicly available after August 2nd, 2018.
Copyright
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Copyright protected
Availability
Status
Open
Reason
Permission or license
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