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20212026
most citedBounding the Difference between the Values of Robust and Non-Robust Markov Decision Problems

3 citations · 8 across the 13 of their papers we have counts for

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q-fin.MF2026

Arbitrage in Estimate Nothing: an example

Johannes Brutsche, Julian Sester, Thorsten Schmidt

We give a two-period counterexample to the absence of arbitrage for the posterior-weighted pricing rule in Estimate nothing by Duembgen and Rogers. Both physical models have strict…

q-fin.TR2026

Robustness in Sequential Decision Making under Evolving Uncertainty: Evidence from High-Frequency Market Making

Ying Chen, Hoa Nguyen, Julian Sester +2

We study sequential decision making under evolving uncertainty in high-frequency financial markets, where changing market dynamics continually challenge static decision policies. W…