We obtain structural results for non-Markovian optimal switching problems in discrete time on an infinite horizon, when the decision maker is risk averse and has partial information about the stochastic sequences generating the costs , and establish existence and uniqueness of solutions for the associated reflected backward stochastic difference equations. An example illustrates the interaction between partial information and risk aversion in the special case of optimal stopping problems .
We solve non-Markovian optimal switching problems in discrete time on an infinite horizon, when the decision maker is risk aware and the filtration is general , and establish existence and uniqueness of solutions for the associated reflected backward stochastic difference equations. An example illustrates the interaction between delayed or missing observations and risk sensitivity .
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obtain structural results for
solve
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averse and has partial information about the stochastic sequences generating the costs
aware and the filtration is general
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partial information and risk aversion in the special case of optimal stopping problems
delayed or missing observations and risk sensitivity