Seminar series
Date
Thu, 30 Nov 2023
16:00
16:00
Location
Lecture Room 4, Mathematical Institute
Speaker
Yifan Jiang
Organisation
Mathematical Institute (University of Oxford)
In this talk, we investigate distributionally robust optimization (DRO) in a dynamic context. We consider a general penalized DRO problem with a causal transport-type penalization. Such a penalization naturally captures the information flow generated by the models. We derive a tractable dynamic duality formula under a measure theoretic framework. Furthermore, we apply the duality to distributionally robust average value-at-risk and stochastic control problems.