Adaptive Robust Control in Continuous Time

DOI10.1137/20M1336680zbMath1472.93195MaRDI QIDQ5158383

Theerawat Bhudisaksang, Álvaro Cartea

Publication date: 22 October 2021

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

dynamic programmingstochastic controlonline learningmodel uncertaintyadaptive robust controltime-consistencyalgorithmic tradingoptimal acquisition

Mathematics Subject Classification ID

Sensitivity (robustness) (93B35) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stochastic learning and adaptive control (93E35) Portfolio theory (91G10)

Related Items (1)

Nonparametric Adaptive Robust Control under Model Uncertainty

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