59 citations · 199 across the 36 of their papers we have counts for
4 papers · 1 filter
Risk Filtering and Risk-Averse Control of Markovian Systems Subject to Model Uncertainty
Tomasz R. Bielecki, Igor Cialenco, Andrzej Ruszczyński
We consider a Markov decision process subject to model uncertainty in a Bayesian framework, where we assume that the state process is observed but its law is unknown to the observe…
Risk-sensitive Markov decision problems under model uncertainty: finite time horizon case
Tomasz R. Bielecki, Tao Chen, Igor Cialenco
In this paper we study a class of risk-sensitive Markovian control problems in discrete time subject to model uncertainty. We consider a risk-sensitive discounted cost criterion wi…
Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection
Tomasz R. Bielecki, Tao Chen, Igor Cialenco
In this paper we study a class of time-inconsistent terminal Markovian control problems in discrete time subject to model uncertainty. We combine the concept of the sub-game perfec…
Adaptive Robust Control Under Model Uncertainty
Tomasz R. Bielecki, Tao Chen, Igor Cialenco +2
In this paper we propose a new methodology for solving an uncertain stochastic Markovian control problem in discrete time. We call the proposed methodology the adaptive robust cont…