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20192026
most citedConvergence of the Deep BSDE method for FBSDEs with non-Lipschitz coefficients

19 citations · 22 across the 12 of their papers we have counts for

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Showing 2024Show all

2 papers · 1 filter

math.PR2024

Sensitivity of causal distributionally robust optimization

Yifan Jiang, Jan Obloj

We study the causal distributionally robust optimization (DRO) in both discrete- and continuous- time settings. The framework captures model uncertainty, with potential models pena…

math.PR2024★ 1 cited

Duality of causal distributionally robust optimization

Yifan Jiang

We study distributionally robust optimization (DRO) in a dynamic context, where model uncertainty is captured by penalizing potential models based on their adapted Wasserstein dist…