A simple model on streamflow management with a dynamic risk measure
Optimization and Control
2020-10-30 v1 Probability
Abstract
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.
Cite
@article{arxiv.2010.15290,
title = {A simple model on streamflow management with a dynamic risk measure},
author = {Hidekazu Yoshioka and Yumi Yoshioka},
journal= {arXiv preprint arXiv:2010.15290},
year = {2020}
}