Bielecki, Tomasz R.
- Dynamic Conic Finance via Backward Stochastic Difference Equations
2014/12/19 by Bielecki, Tomasz R., Cialenco, Igor, Chen, Tao · 1 citation
#60G30 #62P05 #91B06 #91B30 #FOS: Economics and business #FOS: Mathematics #Pricing of Securities (q-fin.PR) #Probability (math.PR) #Risk Management (q-fin.RM)
- Adaptive Robust Control Under Model Uncertainty
2017/06/07 by Bielecki, Tomasz R., Chen, Tao, Cialenco, Igor +2 · 1 citation
#49L20 #60J05 #93E20 #93E35 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC) #Probability (math.PR)
- Risk Filtering and Risk-Averse Control of Markovian Systems Subject to Model Uncertainty
2022/06/18 by Bielecki, Tomasz R., Cialenco, Igor, Ruszczyński, Andrzej · 1 citation
#FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Probability (math.PR)
- Time consistency of dynamic risk measures and dynamic performance measures generated by distortion functions
2023/09/05 by Bielecki, Tomasz R., Cialenco, Igor, Liu, Hao · 1 citation
#91B08 #FOS: Economics and business #Primary 91B06 #Risk Management (q-fin.RM) #Secondary 91B30
- Intricacies of Dependence between Components of Multivariate Markov\n Chains: Weak Markov Consistency and Markov Copulae
2011/05/13 by Tomasz R. Bielecki, Bielecki, Tomasz R., Jacek Jakubowski +3 · 1 citation
Computer Science · Mathematics · Decision Sciences · #Petri Nets in System Modeling #Fuzzy Systems and Optimization #Probability and Risk Models