Research


Current Projects

Robust Optimal Stopping

Adaptive Robust Risk-Sensitive Markovian Control

Adaptive Robust Optimal Execution

Publications & Submissions

  1. Nonparametric Adaptive Bayesian Stochastic Control Under Model Uncertainty (with Jiyoun Myung) Preprint (27 pages), 2020. arXiv, PDF
  2. Time-Inconsistent Markovian Control Problems under Model Uncertainty with Application to the Mean-Variance Portfolio Selection (with Tomasz R. Bielecki and Igor Cialenco) Preprint (24 pages), 2020. arXiv, PDF
  3. A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging (with Michael Ludkovski) Preprint (33 pages), 2019. arXiv, PDF
  4. Adaptive Robust Control under Model Uncertainty (with Tomasz R. Bielecki, Igor Cialenco, Areski Cousin and Monique Jeanblanc) SIAM Journal on Control and Optimization, 57(2), 925–946. (22 pages), 2019. DOI:10.1137/17M1137917, PDF
  5. Recursive Construction of Confidence Regions (with Tomasz R. Bielecki and Igor Cialenco) Electronic Journal of Statistics 11(2), 4674-4700. (27 pages), 2017. DOI:10.1214/17-EJS1362, PDF
  6. Dynamic Conic Finance via Backward Stochastic Difference Equations (with Tomasz R. Bielecki and Igor Cialenco) SIAM Journal on Financial Mathematics, 6(1), 1068-1122. (55 pages), 2015. DOI:10.1137/141002013, PDF