  Recently, literature on dynamic coherent risk measures has broadened the
choices for risk-sensitive performance evaluation. A running example includes
Cumulative prospect theory and Conditional variance at risk. Most of them can
be can be interpreted in general as a non-linear transformation of a given
random variable. Non-convexity property has implied a lot of mathematical
intricacies and challenges. The paper gives overview on the recent development
of dynamic programming optimal control optimization problems driven by
non-convex measures.
