68 citations · 225 across the 22 of their papers we have counts for
Showing math.OCShow all
2 papers · 1 filter
math.OC2017
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…
math.OC2013★ 2 cited
BSDEs with singular terminal condition and control problems with constraints
Stefan Ankirchner, Monique Jeanblanc, Thomas Kruse
We provide a probabilistic solution of a not necessarily Markovian control problem with a state constraint by means of a Backward Stochastic Differential Equation (BSDE). The novel…