| Publication | Date of Publication | Type |
|---|
Quantum-inspired variational algorithms for partial differential equations: application to financial derivative pricing
Quantitative Finance | 2024-04-12 | Paper |
A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets
SIAM Journal on Financial Mathematics | 2023-11-23 | Paper |
| Quantum-inspired nonlinear Galerkin ansatz for high-dimensional HJB equations | 2023-11-20 | Paper |
Optimal Dividends Under Model Uncertainty
SIAM Journal on Financial Mathematics | 2023-06-01 | Paper |
Analysis of the finite-state ergodic master equation
Applied Mathematics and Optimization | 2023-04-03 | Paper |
Finite State Mean Field Games with Wright–Fisher Common Noise as Limits ofN-Player Weighted Games
Mathematics of Operations Research | 2023-01-09 | Paper |
Optimal ergodic harvesting under ambiguity
SIAM Journal on Control and Optimization | 2022-04-27 | Paper |
Analysis of the Finite-State Ergodic Master Equation
(available as arXiv preprint) | 2022-04-11 | Paper |
A scaling limit for utility indifference prices in the discretised Bachelier model
Finance and Stochastics | 2022-04-01 | Paper |
Compute-and-Forward in Large Relaying Systems: Limitations and Asymptotically Optimal Scheduling
IEEE Transactions on Information Theory | 2021-09-07 | Paper |
Private Information Retrieval Over Gaussian MAC
IEEE Transactions on Information Theory | 2021-09-07 | Paper |
Asymptotic optimality of the generalized \(c\mu\) rule under model uncertainty
Stochastic Processes and their Applications | 2021-06-04 | Paper |
Optimal dividend problem: asymptotic analysis
SIAM Journal on Financial Mathematics | 2021-05-28 | Paper |
On singular control problems, the time-stretching method, and the weak-M1 topology
SIAM Journal on Control and Optimization | 2021-03-18 | Paper |
Finite state mean field games with Wright-Fisher common noise
Journal de Mathématiques Pures et Appliquées. Neuvième Série | 2021-03-10 | Paper |
Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation
Insurance Mathematics & Economics | 2020-08-03 | Paper |
Asymptotic analysis of a multiclass queueing control problem under heavy traffic with model uncertainty
Stochastic Systems | 2020-06-18 | Paper |
Brownian control problems for a multiclass M/M/1 queueing problem with model uncertainty
(available as arXiv preprint) | 2020-03-12 | Paper |
Universal Randomized Guessing With Application to Asynchronous Decentralized Brute–Force Attacks
IEEE Transactions on Information Theory | 2020-01-28 | Paper |
SINR diagram with interference cancellation
(available as arXiv preprint) | 2019-05-10 | Paper |
| SINR diagram with interference cancellation | 2019-05-10 | Paper |
Rate control under heavy traffic with strategic servers
The Annals of Applied Probability | 2019-03-20 | Paper |
Rate control under heavy traffic with strategic servers
The Annals of Applied Probability | 2019-03-20 | Paper |
Serve the shortest queue and Walsh Brownian motion
The Annals of Applied Probability | 2019-03-20 | Paper |
Serve the shortest queue and Walsh Brownian motion
The Annals of Applied Probability | 2019-03-20 | Paper |
A numerical scheme for a mean field game in some queueing systems based on Markov chain approximation method
SIAM Journal on Control and Optimization | 2018-11-09 | Paper |
A numerical scheme for a mean field game in some queueing systems based on Markov chain approximation method
SIAM Journal on Control and Optimization | 2018-11-09 | Paper |
Analysis of a Finite State Many Player Game Using Its Master Equation
SIAM Journal on Control and Optimization | 2018-10-08 | Paper |
The Ergodic Capacity of the Multiple Access Channel Under Distributed Scheduling - Order Optimality of Linear Receivers
IEEE Transactions on Information Theory | 2018-09-19 | Paper |
Risk sensitive control of the lifetime ruin problem
Applied Mathematics and Optimization | 2018-05-31 | Paper |
Asymptotically optimal control for a multiclass queueing model in the moderate deviation heavy traffic regime
The Annals of Applied Probability | 2018-01-04 | Paper |
Asymptotically optimal control for a multiclass queueing model in the moderate deviation heavy traffic regime
The Annals of Applied Probability | 2018-01-04 | Paper |
Lossless Coding of Correlated Sources With Actions
IEEE Transactions on Information Theory | 2017-06-08 | Paper |
Capacity of Distributed Opportunistic Scheduling in Nonhomogeneous Networks
IEEE Transactions on Information Theory | 2017-05-16 | Paper |
Minimizing lifetime poverty with a penalty for bankruptcy
Insurance Mathematics & Economics | 2016-11-21 | Paper |
A differential game for a multiclass queueing model in the moderate-deviation heavy-traffic regime
Mathematics of Operations Research | 2016-11-16 | Paper |
A simpler variant of universally composable security for standard multiparty computation
Lecture Notes in Computer Science | 2015-12-10 | Paper |
Parameter estimation: the proper way to use Bayesian posterior processes with Brownian noise
Mathematics of Operations Research | 2015-05-29 | Paper |
Sensor networks: from dependence analysis via matroid bases to online synthesis
Theoretical Computer Science | 2014-09-18 | Paper |
Bandit problems with Lévy processes
Mathematics of Operations Research | 2014-07-11 | Paper |
| Bandit problems with Levy payoff processes | 2009-06-04 | Paper |
Scanning and Sequential Decision Making for Multidimensional Data—Part II: The Noisy Case
IEEE Transactions on Information Theory | 2009-02-24 | Paper |
Lower Bounds on the Error Probability of Block Codes Based on Improvements on de Caen's Inequality
IEEE Transactions on Information Theory | 2008-12-21 | Paper |
Scanning and Sequential Decision Making for Multidimensional Data–Part I: The Noiseless Case
IEEE Transactions on Information Theory | 2008-12-21 | Paper |
Existence of Optimal Stationary Singular Controls and Mean Field Game Equilibria
(available as arXiv preprint) | N/A | Paper |
Asymptotic Nash Equilibria of Finite-State Ergodic Markovian Mean Field Games
(available as arXiv preprint) | N/A | Paper |
