53 citations · 134 across the 31 of their papers we have counts for
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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…
q-fin.MF2017★ 1 cited
Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models
Tomasz R. Bielecki, Igor Cialenco, Marek Rutkowski
The objective of this paper is to provide a comprehensive study no-arbitrage pricing of financial derivatives in the presence of funding costs, the counterparty credit risk and mar…