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math.OC2020
Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents
Camilo Hernández, Dylan Possamaï
We develop a theory for continuous-time non-Markovian stochastic control problems which are inherently time-inconsistent. Their distinguishing feature is that the classical Bellman…
math.OC2017★ 1 cited
Compressive sensing and truncated moment problems on spheres
Hernán García, Camilo Hernández, Mauricio Junca +1
We propose convex optimization algorithms to recover a good approximation of a point measure on the unit sphere from its moments with respect to a set…