Quantifying ambiguity bounds via time-consistent sets of indistinguishable models

DOI10.1016/j.sysconle.2021.104877zbMath1478.91166OpenAlexW3123018223MaRDI 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

zbMATH Keywords

robustnessstochastic controldivergencemodel uncertaintyrectangularity

Mathematics Subject Classification ID

Decision theory (91B06) Optimal stochastic control (93E20) Portfolio theory (91G10)

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