On Risk-Sensitive Decision Making Under Uncertainty
<|reference_start|>On Risk-Sensitive Decision Making Under Uncertainty: This paper studies a risk-sensitive decision-making problem under uncertainty. It considers a decision-making process that unfolds over a fixed number of stages, in which a decision-maker chooses among multiple alternatives, some of which are deterministic and others are stochastic. The decision-maker's cumulative value is updated at each stage, reflecting the outcomes of the chosen alternatives. After formulating this as a stochastic control problem, we delineate the necessary optimality conditions for it. Two illustrative examples from optimal betting and inventory management are provided to support our theory.<|reference_end|>
@article{hsieh2024on,
    title={On Risk-Sensitive Decision Making Under Uncertainty},
    author={Chung-Han Hsieh and Yi-Shan Wong},
    journal={arXiv preprint arXiv:2404.13371},
    year={2024},
    archivePrefix={arXiv},
    eprint={2404.13371},
    primaryClass={math.OC cs.SY eess.SY q-fin.CP stat.ME}
}