论文标题
在适应的Wasserstein距离中，多重EOD优化问题的敏感性
Sensitivity of multiperiod optimization problems in adapted Wasserstein distance
论文作者
论文摘要
我们分析了潜在概率模型中小小变化对多周期随机优化问题和最佳停止问题的价值的影响。我们在有限的离散时间工作，并通过适应的瓦斯坦距离来衡量这些变化。我们证明了两个问题的明确一阶近似。预期的效用最大化被讨论为特殊情况。
We analyze the effect of small changes in the underlying probabilistic model on the value of multi-period stochastic optimization problems and optimal stopping problems. We work in finite discrete time and measure these changes with the adapted Wasserstein distance. We prove explicit first-order approximations for both problems. Expected utility maximization is discussed as a special case.
