53 citations · 55 across the 5 of their papers we have counts for
11 papers
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…
Generalized Multivariate Hawkes Processes
Tomasz R. Bielecki, Jacek Jakubowski, Mariusz Nieweglowski
This work contributes to the theory and applications of Hawkes processes. We introduce and examine a new class of Hawkes processes that we call generalized Hawkes processes, and th…
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…
Wiener-Hopf Factorization for Time-Inhomogeneous Markov Chains
Tomasz R. Bielecki, Ziteng Cheng, Igor Cialenco +1
This work contributes to the theory of Wiener-Hopf type factorization for finite Markov chains. This theory originated in the seminal paper Barlow et al. (1980), which treated the…
Fair Estimation of Capital Risk Allocation
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera +1
In this paper we develop a novel methodology for estimation of risk capital allocation. The methodology is rooted in the theory of risk measures. We work within a general, but trac…
A Dynamic Model of Central Counterparty Risk
Tomasz R. Bielecki, Igor Cialenco, Shibi Feng
We introduce a dynamic model of the default waterfall of derivatives CCPs and propose a risk sensitive method for sizing the initial margin (IM), and the default fund (DF) and its…