Theerawat Bhudisaksang

University of Oxford - Mathematical Institute

Andrew Wiles Building

Radcliffe Observatory Quarter (550)

Oxford, OX2 6GG

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

506

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

Adaptive Robust Control in Continuous-Time

SIAM Journal on Control and Optimization, Forthcoming
Number of pages: 30 Posted: 05 May 2020 Last Revised: 22 Jul 2021
Theerawat Bhudisaksang and Álvaro Cartea
University of Oxford - Mathematical Institute and University of Oxford
Downloads 271 (156,234)

Abstract:

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adaptive robust control, model uncertainty, stochastic control, time-consistency, dynamic programming, optimal acquisition, online learning, algorithmic trading

2.

Online Drift Estimation for Jump-Diffusion Processes

Number of pages: 46 Posted: 10 Mar 2020 Last Revised: 05 Feb 2021
Theerawat Bhudisaksang and Álvaro Cartea
University of Oxford - Mathematical Institute and University of Oxford
Downloads 235 (179,728)
Citation 1

Abstract:

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SGDCT, online estimation, jump-diffusion, extended Ito lemma, non-local Poisson equation, Levy process