Research projects

Project CEMAPRE internal

TitleOptimal Stopping, stochastic control, and big data
ParticipantsNuno Brites, Manuel Guerra, Alexandra Moura, Carlos Oliveira (Principal Investigator)
SummaryIn 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