This was part of Dynamic Assessment Indices

Entropy as performance measure: long-run risk sensitive stochastic control in discrete time

Marcin Pitera, Jagiellonian University

Monday, May 9, 2022

Abstract: In this talk we discuss long-run risk sensitive control problem in discrete time. We focus on the financial applications and explain why the usage of entropic performance measure as objective criterion often leads to efficient optimisation framework. Also, following the span-contraction approach, we show how the underlying reward function span-norm in linked to entropic risk-aversion and to the existence of the solution to the underlying Multiplicative Poisson Equation.