Dynamic Conic Finance via Backward Stochastic Difference Equations. - Tomasz R. Bielecki; Igor Cialenco; Tao Chen 042 (SIAM J. Financial Math., 2015)

Adaptive Robust Control under Model Uncertainty. - Tomasz R. Bielecki; Tao Chen 042; Igor Cialenco; Areski Cousin; Monique Jeanblanc (SIAM J. Control. Optim., 2019)

A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging. - Tao Chen 042; Michael Ludkovski (SIAM J. Financial Math., 2021)

On Parametric Optimal Execution and Machine Learning Surrogates. - Tao Chen 042; Mike Ludkovski; Moritz Voß (CoRR, 2022)