278 citations · 278 across the 2 of their papers we have counts for
3 papers
math.OC2013★ 278 cited
The Scenario Approach for Stochastic Model Predictive Control with Bounds on Closed-Loop Constraint Violations
Georg Schildbach, Lorenzo Fagiano, Christoph Frei +1
Many practical applications of control require that constraints on the inputs and states of the system be respected, while optimizing some performance criterion. In the presence of…
math.PR2012
Quadratic FBSDE with generalized Burgers' type nonlinearities, perturbations and large deviations
Christoph Frei, Gonçalo Dos Reis
We discuss BSDE with drivers containing nonlinearities of the type and with a polynomial of any degree. Sufficient conditions are given for existence and…
math.PR2011
BSDEs in Utility Maximization with BMO Market Price of Risk
Christoph Frei, Markus Mocha, Nicholas Westray
This article studies quadratic semimartingale BSDEs arising in power utility maximization when the market price of risk is of BMO type. In a Brownian setting we provide a necessary…