A Simple Model on Streamflow Management with a Dynamic Risk Measure

We present an exactly solvable risk-minimizing stochastic differential game for flood management in rivers sustainable and adaptive water management. The streamflow dynamics follow equations driven by a Lévy process. An entropic dynamic risk measure is employed to evaluate under model uncertainty. problem solved via Hamilton–Jacobi–Bellman–Isaacs equation. explicitly derive optimal mitigation policy along with its existence criteria the worst-case probability measure. A backward representation as alternative formulation also presented. Our contribution provides new mathematical approach better understanding