67 citations · 68 across the 5 of their papers we have counts for
7 papers
Risk-sensitive Markov decision problems under model uncertainty: finite time horizon case
Tomasz R. Bielecki, Tao Chen, Igor Cialenco
In this paper we study a class of risk-sensitive Markovian control problems in discrete time subject to model uncertainty. We consider a risk-sensitive discounted cost criterion wi…
Nonparametric Adaptive Bayesian Stochastic Control Under Model Uncertainty
Tao Chen, Jiyoun Myung
In this paper we propose a new methodology for solving a discrete time stochastic Markovian control problem under model uncertainty. By utilizing the Dirichlet process, we model th…
Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection
Tomasz R. Bielecki, Tao Chen, Igor Cialenco
In this paper we study a class of time-inconsistent terminal Markovian control problems in discrete time subject to model uncertainty. We combine the concept of the sub-game perfec…
A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging
Tao Chen, Michael Ludkovski
We investigate the adaptive robust control framework for portfolio optimization and loss-based hedging under drift and volatility uncertainty. Adaptive robust problems offer many a…
Adaptive Robust Control Under Model Uncertainty
Tomasz R. Bielecki, Tao Chen, Igor Cialenco +2
In this paper we propose a new methodology for solving an uncertain stochastic Markovian control problem in discrete time. We call the proposed methodology the adaptive robust cont…
Dynamic Conic Finance via Backward Stochastic Difference Equations
Tomasz R. Bielecki, Igor Cialenco, Tao Chen
We present an arbitrage free theoretical framework for modeling bid and ask prices of dividend paying securities in a discrete time setup using theory of dynamic acceptability indi…