Project CEMAPRE internal
| Title | Optimal Stopping, stochastic control, and big data |
| Participants | Nuno Brites, Manuel Guerra, Alexandra Moura, Carlos Oliveira (Principal Investigator) |
| Summary | In this project, we will address different stochastic optimization problems in the field of Economics, Management, Finance, and Engineering. I am mainly interested in control problems, which arise from sustainable finance and green energy. In most of these problems, it is assumed that the distribution of uncertain variables is known, which is not valid in practice. Then, we will investigate how to construct control strategies that are robust against small errors present in the empirical distributions. Finally, in most standard control problems, we intend to optimize the expected value of a given utility/profit. In this project, we intend to extend the standard approach for pathwise stochastic control. |