Theerawat Bhudisaksang

University of Oxford - Mathematical Institute

Andrew Wiles Building

Radcliffe Observatory Quarter (550)

Oxford, OX2 6GG

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

67

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Adaptive Robust Control in Continuous-Time

Number of pages: 28 Posted: 05 May 2020 Last Revised: 07 May 2020
Theerawat Bhudisaksang and Álvaro Cartea
University of Oxford - Mathematical Institute and University of Oxford
Downloads 36 (474,016)

Abstract:

Loading...

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: 28 Posted: 10 Mar 2020
Theerawat Bhudisaksang and Álvaro Cartea
University of Oxford - Mathematical Institute and University of Oxford
Downloads 31 (492,932)

Abstract:

Loading...

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