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On ambiguity-averse market equilibrium
We develop a Nash equilibrium problem representing a perfectly competitive market wherein all players are subject to the same source of uncertainty...
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Dual stochastic descriptions of streamflow dynamics under model ambiguity through a Markovian embedding
Hamilton–Jacobi–Bellman equation (HJBE) and backward stochastic differential equation (BSDE) are the two faces of stochastic control. We explore...
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Optimal insurance design under belief-dependent utility and ambiguity
We introduce a smooth decision model under ambiguity by the belief-dependent utility (BDU) proposed in Fan (Acta Math Appl Sin 37(4):682–696, 2021)....
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Modified Ambiguity Function and Wigner Distribution Associated With Quadratic-Phase Fourier Transform
The ambiguity function (AF) and Wigner distribution (WD) play an important role not only in non-stationary signal processing but also in radar and...
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New quadratic phase Wigner distribution and ambiguity function with applications to LFM signals
The most well-known time–frequency tools for assessing non-transient signals are the Wigner distribution (WD) and ambiguity function (AF), which are...
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Distributionally Robust Optimization with Moment Ambiguity Sets
This paper studies distributionally robust optimization (DRO) when the ambiguity set is given by moments for the distributions. The objective and...
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Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity
This paper investigates the robust time-consistent investment strategy for the defined contribution pension plan with a minimum guarantee in a...
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Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion
We consider an optimal robust investment and reinsurance problem for a general insurance company which holds shares of an insurance company and a...
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Chance-constrained set covering with Wasserstein ambiguity
We study a generalized distributionally robust chance-constrained set covering problem (DRC) with a Wasserstein ambiguity set, where both decisions...
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Adversarial classification via distributional robustness with Wasserstein ambiguity
We study a model for adversarial classification based on distributionally robust chance constraints. We show that under Wasserstein ambiguity, the...
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Data-driven stochastic optimization for distributional ambiguity with integrated confidence region
We discuss stochastic optimization problems under distributional ambiguity. The distributional uncertainty is captured by considering an entire...
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A theoretical approach to ranking of parametric fuzzy numbers using value and left–right ambiguity
In this paper, a new method of ranking fuzzy numbers has been proposed. The method is being developed using the ill-defined quantity value as well as...
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Multistage distributionally robust mixed-integer programming with decision-dependent moment-based ambiguity sets
We study multistage distributionally robust mixed-integer programs under endogenous uncertainty, where the probability distribution of stage-wise...
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Minimizing the Probability of Absolute Ruin Under Ambiguity Aversion
In this paper, we consider an optimal robust reinsurance problem in a diffusion model for an ambiguity-averse insurer, who worries about ambiguity...
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Distributionally robust chance-constrained programs with right-hand side uncertainty under Wasserstein ambiguity
We consider exact deterministic mixed-integer programming (MIP) reformulations of distributionally robust chance-constrained programs (DR-CCP) with...
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Addressing Ambiguity in Randomized Reinsurance Contracts Using Belief Functions
Motivated by a randomized reinsurance model we consider the lower envelope of the set of bivariate joint probability distributions having a precise...
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Distributionally robust optimization with decision dependent ambiguity sets
We study decision dependent distributionally robust optimization models, where the ambiguity sets of probability distributions can depend on the...
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Identity Ambiguity
First of all, the digitalized society calls the issues on identity ambiguity. It indicates ambiguous situations such as losing the boundary between...
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On Penalized Goal-Reaching Probability Minimization with a Common Shock for an AAI
The authors consider a robust optimal reinsurance and investment problem in a risk model with two dependent classes of insurance business for an...
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Residuals-based distributionally robust optimization with covariate information
We consider data-driven approaches that integrate a machine learning prediction model within distributionally robust optimization (DRO) given limited...
