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math.OC2026
Duality and Policy Evaluation in Distributionally Robust Bayesian Diffusion Control
Jose Blanchet, Jiayi Cheng, Yuewei Ling +2
We study diffusion control problems under parameter uncertainty. Controllers based on plug-in estimation can be brittle due to potential distribution shifts. Bayesian control with…
math.OC2025
Bayesian Distributionally Robust Merton Problem with Nonlinear Wasserstein Projections
Jose Blanchet, Jiayi Cheng, Hao Liu +1
We revisit Merton's continuous-time portfolio selection through a data-driven, distributionally robust lens. Our aim is to tap the benefits of frequent trading over short horizons…