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CATEGORIES:Lecture / Talk / Workshop
DESCRIPTION:Igor Cialenco\, Illinois Institute of Technology [in-person]\n\
 nTitle: Risk Filtering and Risk-Averse Control of Systems with Model Uncert
 ainty\n\nAbstract: We consider a Markov decision process subject to model u
 ncertainty in a Bayesian framework\, where we assume that the state process
  is observed but its law is unknown to the observer. In addition\, while th
 e state process and the controls are observed at time t\, the actual cost t
 hat may depend on the unknown parameter is not known at time t. The control
 ler optimizes these running costs by using a family of special risk measure
 s\, that we call risk filters and that are appropriately defined to take in
 to account the model uncertainty of the controlled system. These key featur
 es lead to non-standard and non-trivial risk-averse control problems\, for 
 which we derive the Bellman principle of optimality. We illustrate the gene
 ral theory on several practically important examples.\n\nJoin Zoom Meeting:
  https://usc.zoom.us/j/94973619069?pwd=VnU5bVlMc1pzVTlEYUVaZUYyNSt6UT09\n\n
 Meeting ID: 949 7361 9069\nPasscode: 925028
DTEND:20241021T220000Z
DTSTAMP:20260416T200604Z
DTSTART:20241021T210000Z
GEO:34.022409;-118.291027
LOCATION:Kaprielian Hall (KAP)\, 414
SEQUENCE:0
SUMMARY:Mathematical Finance Colloquium: Risk Filtering and Risk-Averse Con
 trol of Systems with Model Uncertainty
UID:tag:localist.com\,2008:EventInstance_47809278494697
URL:https://calendar.usc.edu/event/mathematical-finance-colloquium-risk-fil
 tering-and-risk-averse-control-of-systems-with-model-uncertainty
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