Duality of causal distributionally robust optimization
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Hamilton-Jacobi equations in optimal control and differential games (49L12) Optimal transportation (49Q22) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimality conditions and duality in mathematical programming (90C46) Optimal stochastic control (93E20)
Cites work
- A short and general duality proof for Wasserstein distributionally robust optimization
- All adapted topologies are equal
- Arbitrage and duality in nondominated discrete-time models
- Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
- Causal transport in discrete time and applications
- Causal transport plans and their Monge-Kantorovich problems
- Change of variable formulas for non-anticipative functionals on path space
- Computational aspects of robust optimized certainty equivalents and option pricing
- Computational methods for adapted optimal transport
- Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
- Distributionally robust optimization
- Distributionally robust risk evaluation with a causality constraint and structural information
- Distributionally Robust Stochastic Optimization with Wasserstein Distance
- Frameworks and results in distributionally robust optimization
- Functional Itō calculus and stochastic integral representation of martingales
- scientific article; zbMATH DE number 1266748 (Why is no real title available?)
- Minimax Theorems
- Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and G-Brownian motion
- On viscosity solutions of path dependent PDEs
- Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations
- Quantifying distributional model risk via optimal transport
- Risk measure pricing and hedging in incomplete markets
- Risk measures based on weak optimal transport
- Science and Statistics
- Sensitivity analysis of Wasserstein distributionally robust optimization problems
- Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance
- Smoothness of densities for path-dependent SDEs under Hörmander's condition
- The Wasserstein space of stochastic processes
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
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