*Please note a meeting password is required for this event.
Meeting ID: 669 222 570
The Department of Finance & Risk Engineering welcomes Dr. Igor Cialenco from Illinois Institute of Technology as part of the Brooklyn Quant Experience (BQE) Lecture Series* to present his talk on "Adaptive Robust Stochastic Control with Applications to Finance".
We propose a new methodology, called adaptive robust control, for solving a discrete-time control problem subject to model uncertainty, also known as Knightian uncertainty. We apply this framework to an optimal portfolio allocation problem where the uncertainty comes from the fact that the true law of the underlying model is only known to belong to a certain family of probability laws. We develop a learning algorithm that reduces the model uncertainty through progressive learning about the unknown system. In particular, we will study a class of time-inconsistent terminal Markovian control problems and provide a machine learning algorithm in solving numerically the mean-variance portfolio selection problem under the model uncertainty.
Igor Cialenco received his PhD in Applied Mathematics from University of Southern California, after which he joined as permanent faculty the Department of Applied Mathematics at Illinois Institute of Technology. His primary research interests are in mathematical finance, stochastic control and statistical inference for SPDEs. Currently, he serves as elected Program Director for SIAM Activity Group on Financial Mathematics and Engineering. He is a Managing Editor for the International Journal of Theoretical and Applied Finance (IJTAF), and on editorial boards of several scientific journals, including SIAM Journal on Financial Mathematics (SIFIN) and Applied Mathematical Finance.
*The BQE Lecture series is held every Thursday at 6 p.m.
Attendance is free and highly encouraged. When possible, slides will be made available after the talk.