Suivre
Tao Chen
Tao Chen
Postdoctoral Assistant Professor, University of Michigan, Ann Arbor
Adresse e-mail validée de umich.edu - Page d'accueil
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Dynamic conic finance via backward stochastic difference equations
TR Bielecki, I Cialenco, T Chen
SIAM Journal on Financial Mathematics 6 (1), 1068-1122, 2015
302015
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
292019
Recursive construction of confidence regions
T Bielecki, T Chen, I Cialenco
Electronic Journal of Statistics 11 (2), 4674-4700, 2017
152017
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
92021
On Parametric Optimal Execution and Machine Learning Surrogates
T Chen, M Ludkovski, M Voß
arXiv preprint arXiv:2204.08581, 2022
32022
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
32022
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
32021
Nonparametric Adaptive Robust Control Under Model Uncertainty
E Bayraktar, T Chen
arXiv preprint arXiv:2202.10391, 2022
22022
Nonparametric Adaptive Bayesian Stochastic Control Under Model Uncertainty
T Chen, J Myung
arXiv preprint arXiv:2011.04804, 2020
22020
Dynamic conic finance via backward stochastic difference equations and recursive construction of confidence regions
T Chen
Illinois Institute of Technology, 2016
2016
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