This paper focuses on a dynamic multi‐asset mean‐variance portfolio selection problem
under model uncertainty. We develop a continuous time framework for taking into account …

We consider robust Markov decision processes with Borel state and action spaces,
unbounded cost, and finite time horizon. Our formulation leads to a Stackelberg game …

We consider the optimal investment and marginal utility pricing problem of a risk averse
agent and quantify their exposure to model uncertainty. Specifically, we compute explicitly …

One of the fundamental assumptions in stochastic control of continuous time processes is
that the dynamics of the underlying (diffusion) process is known. This is, however, usually …

We introduce a new approach for optimal portfolio choice under model ambiguity by
incorporating predictable forward preferences in the framework of Angoshtari et al.[2]. The …

The present study proposes a new PI controller tuning method using extended predictive
control (EPC). The PI controller parameter values are calculated using the EPC controller …

In this paper we consider long-run risk-sensitive average cost impulse control applied to a
continuous-time Feller--Markov process. Using the probabilistic approach, we show how to …

In this paper we investigate a Principal-Agent problem with moral hazard under Knightian
uncertainty. We extend the seminal framework of Holmström and Milgrom by combining a …

Assuming that one-step transition kernel of a discrete time, time-homogenous Markov chain
model is parameterized by a parameter θ∈Θ, we derive a recursive (in time) construction of …

We investigate optimal order execution problems in discrete time with instantaneous price
impact and stochastic resilience. First, in the setting of linear transient price impact we derive …