53 citations · 134 across the 31 of their papers we have counts for
Showing 2016Show all
2 papers · 1 filter
math.ST2016
Recursive Construction of Confidence Regions
Tomasz R. Bielecki, Tao Chen, Igor Cialenco
Assuming that one-step transition kernel of a discrete time, time-homogenous Markov chain model is parameterized by a parameter , we derive a recursive (in time…
q-fin.MF2016
A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera
In this work we give a comprehensive overview of the time consistency property of dynamic risk and performance measures, focusing on a the discrete time setup. The two key operatio…