Christel Baier

Sep 10, 2024 | fis.tu-dresden.de | Christel Baier |Logical Foundations |TUD Dresden |Krishnendu Chatterjee

Entropic risk (ERisk) is an established risk measure in finance, quantifying risk by an exponential re-weighting of rewards. We study ERisk for the first time in the context of turn-based stochastic games with the total reward objective. This gives rise to an objective function that demands the control of systems in a risk-averse manner. We show that the resulting games are determined and, in particular, admit optimal memoryless deterministic strategies.

Feb 27, 2023 | arxiv.org | Christel Baier

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