67 citations · 68 across the 5 of their papers we have counts for
Showing 2020Show all
2 papers · 1 filter
math.OC2020
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…
math.OC2020
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…