1 citations · 1 across the 4 of their papers we have counts for
7 papers
Markov Decision Processes under Model Uncertainty
Ariel Neufeld, Julian Sester, Mario Šikić
We introduce a general framework for Markov decision problems under model uncertainty in a discrete-time infinite horizon setting. By providing a dynamic programming principle we o…
Robust martingale selection problem and its connections to the no-arbitrage theory
Matteo Burzoni, Mario Sikic
We analyze the martingale selection problem of Rokhlin (2006) in a pointwise (robust) setting. We derive conditions for solvability of this problem and show how it is related to th…
Nonconcave Robust Optimization with Discrete Strategies under Knightian Uncertainty
Ariel Neufeld, Mario Sikic
We study robust stochastic optimization problems in the quasi-sure setting in discrete-time. The strategies in the multi-period-case are restricted to those taking values in a disc…
A simple characterization of tightness for convex solid sets of positive random variables
Pablo Koch-Medina, Cosimo Munari, Mario Šikić
We show that for a convex solid set of positive random variables to be tight, or equivalently bounded in probability, it is necessary and sufficient that it is radially bounded, i.…
Robust Utility Maximization in Discrete-Time Markets with Friction
Ariel Neufeld, Mario Sikic
We study a robust stochastic optimization problem in the quasi-sure setting in discrete-time. We show that under a lineality-type condition the problem admits a maximizer. This con…
Financial market models in discrete time beyond the concave case
Mario Sikic
In this article we propose a study of market models starting from a set of axioms, as one does in the case of risk measures. We define a market model simply as a mapping from the s…