Research


Current Projects

Parametric Optimization, Robust Stochastic Control and Statistical Surrogates

Risk-Averse Control of Markov Systems with Model Uncertainty

Publications & Submissions

  1. Adaptive Robust Control Under Model Uncertainty (with Tomasz R. Bielecki, Igor Cialenco, Areski Cousin and Monique Jeanblanc) submitted for publication (22 pages), 2017. arXiv, PDF
  2. Recursive Construction of Confidence Regions (with Tomasz R. Bielecki and Igor Cialenco) Electron. J. Statist. 11(2), 4674-4700. (27 pages), 2017. DOI:10.1214/17-EJS1362, PDF
  3. Dynamic Conic Finance via Backward Stochastic Difference Equations (with Tomasz R. Bielecki and Igor Cialenco) SIAM Journal of Financial Mathematics, 6(1), 1068-1122. (55 pages), 2015. DOI:10.1137/141002013, PDF