We consider games where an analyst is not confident about players' true information structure for payoff-relevant parameters. We define a robust prediction by a set of action profiles such that, given any information structure among the players, there is a Bayesian Nash equilibrium given that...

Surplus-lag testing has been proposed as a means of undertaking persistence-robust causality analysis irrespective of the integrated nature of economic and/or financial series under examination. The present paper examines whether this suggested robustness holds when considering series...

In this paper, we consider robust estimation of claim severity models in insurance, when data are affected by truncation (due to deductibles), censoring (due to policy limits), and scaling (due to coinsurance). In particular, robust estimators based on the methods of trimmed moments...

The solutions to robust optimization problems are sometimes too conservative because of the focus on worst-case performance. For the least-squares (LS) problem, we describe a way to overcome this by combining the classical formulation with its robust counterpart. We focus on the issue of...

This paper develops a theory of dynamic pessimism and its impact on asset prices. Notions of time-varying pessimism arise endogenously in our setting as a consequence of agents’ concern for model misspecification. We generalize the robust control approach of Hansen and Sargent (2001) by...

We consider an assortment optimization problem where the retailer needs to choose a set of products to offer to customers from the range of available products. By choosing the assortment, which will affect customers' purchase choice, the retailer aims to obtain a high expected revenue. We study...

We propose and analyze a sequential design of price experimentation that balances the learning and earning trade-off in revenue management. Assuming the demand function belongs to a parametric family with an unknown parameter value, we derive a closed-form stopping rule based on the realized...

The role of network in transportation systems has gained significant and increasing relevance in the literature especially focusing on vulnerability and resilience.The structure of a transport system can positively or negatively influence the geographical areas it serves. A disruption of the...

In this paper, a novel robust controller technique is derived for the network synchronization of chaotic systems with time-varying delay. The stabilization of the complex chaotic systems is achieved by considering an appropriate Krasovskii-Lyapunov functional in order to find the asynchronous...

A multi-objective control for grid interfaced PV- BES based pico hydro system having multi mode operation is dealt in this work. The pico hydro system comprises of a PMSG driven by a DC motor, which emulates the function of an uncontrolled hydro turbine. This system utilizes only one VSC which...