\dm_csml_event_details UCL ELLIS

Conditional Expectation Estimates for Discrete Control


Speaker

Steffen Grunewalder

Affiliation

UCL

Date

Friday, 09 November 2012

Time

12:30-14:00

Location

Zoom

Link

Cruciform B404 - LT2

Event series

Jump Trading/ELLIS CSML Seminar Series

Abstract

I will talk about estimates of conditional expectations and their application to control problems in discrete time and space. I will show empirical performance of the approach and will sketch a proof of convergence to the best possible strategy. If time permits, I will discuss the discrete time and continuous space setting and show how the proof can be extended to this case.

Joint work with Guy Lever, Luca Baldassarre, Massi Pontil & Arthur Gretton.

Biography