The following pages link to Michael Ludkovski (Q260999):
Displaying 46 items.
- Practical Heteroscedastic Gaussian Process Modeling for Large Simulation Experiments (Q139887) (← links)
- Sequential Bayesian inference in hidden Markov stochastic kinetic models with application to detection and response to seasonal epidemics (Q261000) (← links)
- (Q320256) (redirect page) (← links)
- Statistical emulators for pricing and hedging longevity risk products (Q320257) (← links)
- On comonotonicity of Pareto optimal risk sharing (Q935821) (← links)
- Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates (Q939322) (← links)
- Inventory management with partially observed nonstationary demand (Q993707) (← links)
- Sequential tracking of a hidden Markov chain using point process observations (Q1019610) (← links)
- A simulation approach to optimal stopping under partial information (Q1045791) (← links)
- Technology ladders and R\&D in dynamic Cournot markets (Q1655725) (← links)
- Capacity expansion games with application to competition in power generation investments (Q1655769) (← links)
- Optimal risk sharing under distorted probabilities (Q1932519) (← links)
- Accounting for risk aversion in derivatives purchase timing (Q1938997) (← links)
- Statistical learning for probability-constrained stochastic optimal control (Q2029386) (← links)
- Evaluating Gaussian process metamodels and sequential designs for noisy level set estimation (Q2058770) (← links)
- An impulse-regime switching game model of vertical competition (Q2068903) (← links)
- Regression Monte Carlo for impulse control (Q2094845) (← links)
- Large-scale local surrogate modeling of stochastic simulation experiments (Q2157538) (← links)
- Dynamic contagion in a banking system with births and defaults (Q2292038) (← links)
- (Q2741433) (← links)
- Exploration and exhaustibility in dynamic Cournot games (Q2888859) (← links)
- Finite Horizon Decision Timing with Partially Observable Poisson Processes (Q2904311) (← links)
- Monte Carlo Methods for Adaptive Disorder Problems (Q2917426) (← links)
- LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY (Q2927944) (← links)
- Sequential Design for Optimal Stopping Problems (Q2941479) (← links)
- Quickest detection in the Wiener disorder problem with post-change uncertainty (Q2974885) (← links)
- OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS (Q3100751) (← links)
- Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement (Q3122061) (← links)
- (Q3160497) (← links)
- Filling the gap between American and Russian options: adjustable regret (Q3429333) (← links)
- Optimal Execution with Dynamic Order Flow Imbalance (Q3456840) (← links)
- Valuation of energy storage: an optimal switching approach (Q3564806) (← links)
- Pricing Asset Scheduling Flexibility using Optimal Switching (Q3617303) (← links)
- FINANCIAL HEDGING OF OPERATIONAL FLEXIBILITY (Q3621562) (← links)
- Bayesian Quickest Detection in Sensor Arrays (Q4650225) (← links)
- GAUSSIAN PROCESS MODELS FOR MORTALITY RATES AND IMPROVEMENT FACTORS (Q4691257) (← links)
- PRIORITY OPTION: THE VALUE OF BEING A LEADER (Q4916241) (← links)
- Relative Hedging of Systematic Mortality Risk (Q5029058) (← links)
- KrigHedge: Gaussian Process Surrogates for Delta Hedging (Q5093245) (← links)
- Impact of Counterparty Risk on the Reinsurance Market (Q5168690) (← links)
- Stochastic Switching Games and Duopolistic Competition in Emissions Markets (Q5388673) (← links)
- Optimal Timing to Purchase Options (Q5388685) (← links)
- EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS (Q5746930) (← links)
- Expressive mortality models through Gaussian process kernels (Q6556603) (← links)
- Generalized probabilistic bisection for stochastic root finding (Q6600075) (← links)
- Replication or Exploration? Sequential Design for Stochastic Simulation Experiments (Q6621613) (← links)
