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Financial/Actuarial Mathematics Seminar

Data-Driven Nonparametric Robust Control under Dependence Uncertainty
Wednesday, October 5, 2022
4:00-5:00 PM
1360 East Hall Map
We consider a multi period stochastic control problem where the driving stochastic factor has known marginal distributions but uncertain dependence structure. To solve the problem, we propose to implement the nonparametric adaptive robust control framework. We aim to find the optimal control against the worst case copula in a sequence of shrinking uncertainty sets which are generated from continuously observing the data. Then, we use a stochastic gradient descent ascent algorithm to numerically handle the corresponding high dimensional dynamic inf-sup optimization problem. We present the numerical results in the context of utility maximization and show that the controller benefits from knowing more information about the uncertain model. Speaker(s): Tao Chen (UM)
Building: East Hall
Event Type: Workshop / Seminar
Tags: Mathematics
Source: Happening @ Michigan from Department of Mathematics