| Dynamic conic finance via backward stochastic difference equations TR Bielecki, I Cialenco, T Chen SIAM Journal on Financial Mathematics 6 (1), 1068-1122, 2015 | 29 | 2015 |
| Adaptive robust control under model uncertainty TR Bielecki, T Chen, I Cialenco, A Cousin, M Jeanblanc SIAM Journal on Control and Optimization 57 (2), 925-946, 2019 | 28 | 2019 |
| Recursive construction of confidence regions T Bielecki, T Chen, I Cialenco Electronic Journal of Statistics 11 (2), 4674-4700, 2017 | 15 | 2017 |
| A machine learning approach to adaptive robust utility maximization and hedging T Chen, M Ludkovski SIAM Journal on Financial Mathematics 12 (3), 1226-1256, 2021 | 9 | 2021 |
| On Parametric Optimal Execution and Machine Learning Surrogates T Chen, M Ludkovski, M Voß arXiv preprint arXiv:2204.08581, 2022 | 3 | 2022 |
| Risk-sensitive Markov decision problems under model uncertainty: finite time horizon case TR Bielecki, T Chen, I Cialenco Stochastic Analysis, Filtering, and Stochastic Optimization, 33-52, 2022 | 3 | 2022 |
| Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection TR Bielecki, T Chen, I Cialenco International Journal of Theoretical and Applied Finance 24 (01), 2150003, 2021 | 3 | 2021 |
| Nonparametric Adaptive Robust Control Under Model Uncertainty E Bayraktar, T Chen arXiv preprint arXiv:2202.10391, 2022 | 2 | 2022 |
| Nonparametric Adaptive Bayesian Stochastic Control Under Model Uncertainty T Chen, J Myung arXiv preprint arXiv:2011.04804, 2020 | 2 | 2020 |
| Dynamic conic finance via backward stochastic difference equations and recursive construction of confidence regions T Chen Illinois Institute of Technology, 2016 | | 2016 |
Tomasz R. BieleckiProfessor of Applied Mathematics, Illinois Institute of TechnologyVerified email at iit.edu
