Environmental policy under model uncertainty: a robust optimal control approach

Environmental Policy Aid Under Uncertainty

Development of a Model for Locating Hubs in a Competitive Environment under Uncertainty: A Robust Optimization Approach

This article explores the development of previous models to determine hubs in a competitive environment. In this paper, by comparing parameters of the ticket price, travel time and the service quality of hub airports, airline hubs are divided into six categories. The degree of importance of travel time and travel cost are determined by a multivariate Lagrange interpolation method, which can pla...

tex Bayesian and Adaptive Optimal Policy under Model Uncertainty ∗

We study the problem of a policymaker who seeks to set policy optimally in an economy where the true economic structure is unobserved, and he optimally learns from observations of the economy. This is a classic problem of learning and control, variants of which have been studied in the past, but seldom with forward-looking variables which are a key component of modern policy-relevant models. As...

Robust Optimal Stopping under Volatility Uncertainty

We study a robust optimal stopping problem with respect to a set P of mutually singular probabilities. This can be interpreted as a zero-sum controller-stopper game in which the stopper is trying to maximize its pay-off while an adverse player wants to minimize this payoff by choosing an evaluation criteria from P. We show that the upper Snell envelope Z of the reward process Y is a supermartin...

Robust Replication under Model Uncertainty

We consider the robust hedging problem in which an investor wants to super-hedge an option in the framework of uncertainty in a model of a stock price process. More specifically, the investor knows that the stock price process is H -self-similar with H ∈ (1/2, 1), and that the log-returns are Gaussian. This leads to two natural but mutually exclusive hypotheses both being self-contained to fix ...