13 citations · 25 across the 16 of their papers we have counts for
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math.OC2023★ 1 cited
An optimal multibarrier strategy for a singular stochastic control problem with a state-dependent reward
Mauricio Junca, Harold Moreno-Franco, Jose Luis Perez
We consider a singular control problem that aims to maximize the expected cumulative rewards, where the instantaneous returns depend on the state of a controlled process. The contr…
math.OC2023
Decision-dependent Distributionally Robust Optimization
Diego Fonseca, Mauricio Junca
This work presents a new Distributionally Robust Optimization approach, using -Wasserstein metrics, to analyze a stochastic program in a general context. The ambiguity set in th…