Data-driven non-parametric robust control under dependence uncertainty

Erhan Bayraktar and Tao Chen

Year of publication:	2024
Authors:	Bayraktar, Erhan ; Chen, Tao
Published in:	Peter Carr Gedenkschrift : research advances in mathematical finance. - New Jersey : World Scientific, ISBN 978-981-12-8029-0. - 2024, p. 141-178
Subject:	Non-parametric adaptive robust control \| Model uncertainty \| Stochastic control \| Adaptive robust dynamic programming \| Wasserstein distance \| Markovian control problem \| Utility maximization \| Copula \| Machine learning \| Stochastic gradient descent ascent \| Kontrolltheorie \| Control theory \| Robustes Verfahren \| Robust statistics \| Stochastischer Prozess \| Stochastic process \| Entscheidung unter Unsicherheit \| Decision under uncertainty \| Mathematische Optimierung \| Mathematical programming \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Dynamische Optimierung \| Dynamic programming \| Künstliche Intelligenz \| Artificial intelligence \| Markov-Kette \| Markov chain \| Risiko \| Risk \| Portfolio-Management \| Portfolio selection \| Modellierung \| Scientific modelling \| Multivariate Verteilung \| Multivariate distribution

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz im Buch ; Book section
Language:	English
Source:	ECONIS - Online Catalogue of the ZBW

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