Research Seminar - Gabriela Kováčová

The Institute for Statistics and Mathematics is pleased to invite you to the next research seminar, which will take place on campus:

• Gabriela Kováčová (Department of Engineering, Reykjavík University)
  Towards Multi-Objective Stochastic Control Under Model Uncertainty
  
  Wednesday, June 24, 2026, 5:15 p.m., Building D4, Room D4.0.127

Abstract:
Dynamic programming is a tool widely and successfully used to tackle (single-objective) stochastic optimal control problems in financial mathematics as well as various other fields. Bellman’s principle (or the dynamic programming principle) lies at the heart of dynamic programming as well as modern computational methods such as reinforcement learning.
In recent years, various problems in finance and economics have been successfully interpreted and modeled as multi-objective and set-valued control problems. At the same time, model uncertainty has been explored for single-objective problems. However, the literature has only recently begun to combine these two frameworks.
In this talk, I will begin by providing an overview of the challenges of dynamic programming in the context of multi-objective control (without model uncertainty) and then explain the need to incorporate model uncertainty into the multi-objective framework. This is a new research direction that has been explored only sparingly to date. I will present results on the robust approach and the Bayesian approach to model uncertainty as applied to the multi-objective framework.

Please note that there are currently no Zoom streams planned for the talks this semester.
For further information (such as related papers, linked software, etc.) and the seminar schedule, please see:
www.wu.ac.at/en/statmath/research/resseminar