Quantifying ambiguity bounds via time-consistent sets of indistinguishable models
From MaRDI portal
Publication:2242978
DOI10.1016/j.sysconle.2021.104877zbMath1478.91166MaRDI QIDQ2242978
Anne G. Balter, Antoon Pelsser
Publication date: 10 November 2021
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.sysconle.2021.104877
Related Items
Stochastic streamflow and dissolved silica dynamics with application to the worst-case long-run evaluation of water environment, Distortion risk measures, ROC curves, and distortion divergence
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Model Confidence Set
- Financial markets with volatility uncertainty
- Wellposedness of second order backward SDEs
- The robust Merton problem of an ambiguity averse investor
- Recursive multiple-priors.
- Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty
- The average cost of Markov chains subject to total variation distance uncertainty
- Robust consumption and portfolio policies when asset prices can jump
- Ambiguity aversion and model misspecification: an economic perspective
- On the quantification of aleatory and epistemic uncertainty using sliced-normal distributions
- Pricing and hedging in incomplete markets with model uncertainty
- A filtering problem with uncertainty in observation
- Risk measures via \(g\)-expectations
- Occupation measures for controlled Markov processes: Characterization and optimality
- Coherent Measures of Risk
- Erratum: "A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions"
- On Divergences and Informations in Statistics and Information Theory
- Optimal Stopping With Multiple Priors
- Backward Stochastic Differential Equations in Finance
- A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions
- Robustness
- Ambiguity, Risk, and Asset Returns in Continuous Time
- On the Solutions of a Stochastic Control System
- Existence of Optimal Stochastic Control Laws
- Stochastic differential equations. An introduction with applications.
