英文标题：
《Nonconcave Robust Optimization with Discrete Strategies under Knightian
Uncertainty》
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作者：
Ariel Neufeld, Mario Sikic
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最新提交年份：
2019
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英文摘要：
We study robust stochastic optimization problems in the quasi-sure setting in discrete-time. The strategies in the multi-period-case are restricted to those taking values in a discrete set. The optimization problems under consideration are not concave. We provide conditions under which a maximizer exists. The class of problems covered by our robust optimization problem includes optimal stopping and semi-static trading under Knightian uncertainty.
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中文摘要：
我们研究了离散时间下拟确定性条件下的鲁棒随机优化问题。多周期情况下的策略仅限于在离散集中取值的策略。所考虑的优化问题不是凹的。我们提供了最大化器存在的条件。鲁棒优化问题所涉及的问题包括奈特不确定性下的最优停止和半静态交易。
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分类信息：

一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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