A Simple Model on Streamflow Management with a Dynamic Risk Measure

نویسندگان

چکیده

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

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Dynamic DEA: A Hybrid Measure Approach

 In the real world applications, there are some situations where inputs and outputs are time-dependent and are affected during the production periods. Capital stock can be seen as an effective instance in such occasions. In order to handling long-time planning, dynamic structure was proposed in efficiency evaluation. In this framework, there are some of the inputs and outputs change proportiona...

متن کامل

On a Simple Measure of Individual Risk Aversion

We ask individuals for their reservation price of a specified lottery and deduce their ArrowPratt measure of risk aversion. This allows direct testing of common hypotheses on risk attitudes in three datasets. We find that risk aversion indeed falls with income and wealth. Entrepreneurs are less risk averse than employees, civil servants are more risk averse than private sector employees, and wo...

متن کامل

a study on insurer solvency by panel data model: the case of iranian insurance market

the aim of this thesis is an approach for assessing insurer’s solvency for iranian insurance companies. we use of economic data with both time series and cross-sectional variation, thus by using the panel data model will survey the insurer solvency.

A dynamic risk analysis on new product development process

Abstract In the dynamic and competitive market, managers seek to find effective strategies for new products development. Since There has not been a thorough research in this field, this study is based on a review on the risks exist in the NPD process and an analysis of risks through FMEA approach to prioritize the existent risks and a modeling behavior of the NPD process and main risks using s...

متن کامل

Developing a Risk Management Model for Banking Software Development Projects Based on Fuzzy Inference System

Risk management is one of the most influential parts of project management that has a major impact on the success or failure of projects. Due to the increasing use of information technology (IT) systems in all fields and the high failure rate of IT projects in software development and production, it is essential to effectively manage these projects is essential. Therefore, this study is aimed t...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Advances in intelligent systems and computing

سال: 2022

ISSN: ['2194-5357', '2194-5365']

DOI: https://doi.org/10.1007/978-981-16-6890-6_71