Seminar series
Date
Thu, 10 Nov 2022
Time
16:00 -
17:00
Location
L3
Speaker
Yifan Jiang
In this talk, we consider the sensitivity to the model uncertainty of an optimization problem. By introducing adapted Wasserstein perturbation, we extend the classical results in a static setting to the dynamic multi-period setting. Under mild conditions, we give an explicit formula for the first order approximation to the value function. An optimization problem with a cost of weak type will also be discussed.