Adaptive robust control in continuous time
We propose a continuous-time version of the adaptive robust methodology introduced in T. R. Bielecki et al. [<i>SIAM J. Control Optim</i>., 57 (2019), pp. 925--946]. An agent solves a stochastic control problem where the underlying uncertainty follows a jump-diffusion process and the age...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Society for Industrial and Applied Mathematics
2021
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