1 citations · 1 across the 1 of their papers we have counts for
2 papers
q-fin.CP2016★ 1 cited
Optimal trading with online parameters revisions
N Baradel, B Bouchard, Ngoc Minh Dang
The aim of this paper is to explain how parameters adjustments can be integrated in the design or the control of automates of trading. Typically, we are interested by the online es…
math.PR2016
Optimal control under uncertainty and Bayesian parameters adjustments
N. Baradel, B. Bouchard, Ngoc Minh Dang
We propose a general framework for studying optimal impulse control problem in the presence of uncertainty on the parameters. Given a prior on the distribution of the unknown param…