论文标题
具有动态风险度量的水流管理上的简单模型
A simple model on streamflow management with a dynamic risk measure
论文作者
论文摘要
我们为河流中的洪水管理提供了一个完全可分离的风险最小化随机差异游戏。流量动力学遵循由征费过程驱动的随机微分方程。采用熵动态风险措施来评估模型不确定性下的洪水风险。该问题是通过汉密尔顿 - 雅各比 - 贝尔曼 - 伊萨克方程来解决的。我们明确地得出了最佳的洪水缓解政策及其存在标准和最坏的概率措施。还提出了向后的随机差分表示作为替代表述。
We present an exactly-solvable risk-minimizing stochastic differential game for flood management in rivers. The streamflow dynamics follow stochastic differential equations driven by a Levy process. An entropic dynamic risk measure is employed to evaluate a flood risk under model uncertainty. The problem is solved via a Hamilton-Jacobi-Bellman-Isaacs equation. We explicitly derive an optimal flood mitigation policy along with its existence criteria and the worst-case probability measure. A backward stochastic differential representation as an alternative formulation is also presented.
