Adaptive Robust Trading Under Model Uncertainty


We propose a new methodology, called adaptive robust control, for solving a discrete-time Markovian control problem subject to Knightian uncertainty. We apply the general framework to an optimal investment problem where the... [ view full abstract ]


  1. Tomasz Bielecki (Illinois Institute of Technology)
  2. Tao Chen (University of California, Santa Barbara)
  3. Igor Cialenco (Illinois Institute of Technology)
  4. Areski Cousin (University of Strasbourg)
  5. Monique Jeanblanc (Evry University)

Topic Areas

Game Theory , Optimal Control , Robustness


TU-A-SW » High Frequency Trading (11:30 - Tuesday, 17th July, Swift)

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