• Conference Object  

      Dynamic programming with total variational distance uncertainty 

      Charalambous, Charalambos D.; Tzortzis, I.; Charalambous, T. (2012)
      The aim of this paper is to address optimality of stochastic control strategies via dynamic programming subject to total variational distance uncertainty on the conditional distribution of the controlled process. Utilizing ...
    • Article  

      Series decomposition of fractional Brownian motion and its Lamperti transform 

      Baxevani, Anastassia; Podgórski, K. (2009)
      The Lamperti transformation of a self-similar process is a stationary process. In particular, the fractional Brownian motion transforms to the second order stationary Gaussian process. This process is represented as a ...