Erhan Bayraktar

Qi Feng

Zhaoyu Zhang

SIAM J. Financial Math., March, 2024

Exponential Entropy Dissipation for Weakly Self-Consistent Vlasov-Fokker-Planck Equations.

[BibT_eX]

[DOI]

Qi Feng

Wuchen Li

J. Nonlinear Sci., February, 2024

Infinite Horizon Average Cost Optimality Criteria for Mean-Field Control.

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2024

Learning with Linear Function Approximations in Mean-Field Control.

[BibT_eX]

[DOI]

CoRR, 2024

2023

Short Communication: Existence of Markov Equilibrium Control in Discrete Time.

[BibT_eX]

[DOI]

Bingyan Han

SIAM J. Financial Math., December, 2023

A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets.

[BibT_eX]

[DOI]

Asaf Cohen

April Nellis

SIAM J. Financial Math., December, 2023

Nonparametric Adaptive Robust Control under Model Uncertainty.

[BibT_eX]

[DOI]

Tao Chen

SIAM J. Control. Optim., October, 2023

Approximate Q Learning for Controlled Diffusion Processes and Its Near Optimality.

[BibT_eX]

[DOI]

SIAM J. Math. Data Sci., September, 2023

Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case.

[BibT_eX]

[DOI]

Bahman Angoshtari

SIAM J. Financial Math., June, 2023

Stability of Equilibria in Time-Inconsistent Stopping Problems.

[BibT_eX]

[DOI]

Zhenhua Wang

SIAM J. Control. Optim., April, 2023

A PDE approach for regret bounds under partial monitoring.

[BibT_eX]

[DOI]

J. Mach. Learn. Res., 2023

On Time-Inconsistency in Mean Field Games.

[BibT_eX]

[DOI]

Zhenhua Wang

CoRR, 2023

Fitted Value Iteration Methods for Bicausal Optimal Transport.

[BibT_eX]

[DOI]

Bingyan Han

CoRR, 2023

2022

Short Communication: Stability of Time-Inconsistent Stopping for One-Dimensional Diffusions.

[BibT_eX]

[DOI]

Zhenhua Wang

SIAM J. Financial Math., December, 2022

Finite State Mean Field Games with Wright-Fisher Common Noise as Limits of <i>N</i>-Player Weighted Games.

[BibT_eX]

[DOI]

Math. Oper. Res., November, 2022

Optimal Investment and Consumption under a Habit-Formation Constraint.

[BibT_eX]

[DOI]

Bahman Angoshtari

SIAM J. Financial Math., 2022

Path-Dependent Hamilton-Jacobi Equations with Super-Quadratic Growth in the Gradient and the Vanishing Viscosity Method.

[BibT_eX]

[DOI]

Christian Keller

SIAM J. Control. Optim., 2022

Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit.

[BibT_eX]

[DOI]

Christoph Belak

Sören Christensen

Frank Thomas Seifried

SIAM J. Control. Optim., 2022

Disorder detection with costly observations.

[BibT_eX]

[DOI]

Erik Ekström

Jia Guo

J. Appl. Probab., 2022

Deep Signature Algorithm for Path-Dependent American option pricing.

[BibT_eX]

[DOI]

Qi Feng

Zhaoyu Zhang

CoRR, 2022

$K_{r, s}$ Graph Bootstrap Percolation.

[BibT_eX]

[DOI]

Suman Chakraborty

Electron. J. Comb., 2022

Near Optimality of Finite Memory Policies for POMPDs with Continuous Spaces.

[BibT_eX]

[DOI]

Serdar Yüksel

Proceedings of the 61st IEEE Conference on Decision and Control, 2022

2021

Malicious Experts Versus the Multiplicative Weights Algorithm in Online Prediction.

[BibT_eX]

[DOI]

IEEE Trans. Inf. Theory, 2021

Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios.

[BibT_eX]

[DOI]

SIAM J. Financial Math., 2021

Terminal Ranking Games.

[BibT_eX]

[DOI]

Math. Oper. Res., 2021

Prediction against a limited adversary.

[BibT_eX]

[DOI]

J. Mach. Learn. Res., 2021

A Central Limit Theorem for Diffusion in Sparse Random Graphs.

[BibT_eX]

[DOI]

Hamed Amini

Suman Chakraborty

CoRR, 2021

2020

On the Adversarial Robustness of Robust Estimators.

[BibT_eX]

[DOI]

IEEE Trans. Inf. Theory, 2020

2019

High Order Bellman Equations and Weakly Chained Diagonally Dominant Tensors.

[BibT_eX]

[DOI]

Parsiad Azimzadeh

SIAM J. Matrix Anal. Appl., 2019

Time Consistent Stopping for the Mean-Standard Deviation Problem - The Discrete Time Case.

[BibT_eX]

[DOI]

Jingjie Zhang

SIAM J. Financial Math., 2019

Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates.

[BibT_eX]

[DOI]

Bahman Angoshtari

SIAM J. Financial Math., 2019

No-Arbitrage and Hedging with Liquid American Options.

[BibT_eX]

[DOI]

Math. Oper. Res., 2019

Finite-Time 4-Expert Prediction Problem.

[BibT_eX]

[DOI]

CoRR, 2019

On the Adversarial Robustness of Multivariate Robust Estimation.

[BibT_eX]

[DOI]

CoRR, 2019

On the asymptotic optimality of the comb strategy for prediction with expert advice.

[BibT_eX]

[DOI]

Yili Zhang

CoRR, 2019

2018

Efficient Byzantine Sequential Change Detection.

[BibT_eX]

[DOI]

Georgios Fellouris

IEEE Trans. Inf. Theory, 2018

Recombining Tree Approximations for Optimal Stopping for Diffusions.

[BibT_eX]

[DOI]

Yan Dolinsky

Jia Guo

SIAM J. Financial Math., 2018

Solvability of the Nonlinear Dirichlet Problem with Integro-differential Operators.

[BibT_eX]

[DOI]

Qingshuo Song

SIAM J. Control. Optim., 2018

Martingale Optimal Transport with Stopping.

[BibT_eX]

[DOI]

Alexander M. G. Cox

Yavor Stoev

SIAM J. Control. Optim., 2018

Analysis of a Finite State Many Player Game Using Its Master Equation.

[BibT_eX]

[DOI]

Asaf Cohen

SIAM J. Control. Optim., 2018

A Numerical Scheme for a Mean Field Game in Some Queueing Systems Based on Markov Chain Approximation Method.

[BibT_eX]

[DOI]

Amarjit Budhiraja

Asaf Cohen

SIAM J. Control. Optim., 2018

Convergence of Implicit Schemes for Hamilton-Jacobi-Bellman Quasi-Variational Inequalities.

[BibT_eX]

[DOI]

Parsiad Azimzadeh

George Labahn

SIAM J. Control. Optim., 2018

Quantile Hedging in a semi-static market with model uncertainty.

[BibT_eX]

[DOI]

Gu Wang

Math. Methods Oper. Res., 2018

2017

Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities.

[BibT_eX]

[DOI]

Andrea Cosso

Huyên Pham

SIAM J. Control. Optim., 2017

Multi-Chart Detection Procedure for Bayesian Quickest Change-Point Detection with Unknown Post-Change Parameters.

[BibT_eX]

[DOI]

Jun Geng

CoRR, 2017

2016

Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming.

[BibT_eX]

[DOI]

S. David Promislow

SIAM J. Financial Math., 2016

Robust Feedback Switching Control: Dynamic Programming and Viscosity Solutions.

[BibT_eX]

[DOI]

Andrea Cosso

Huyên Pham

SIAM J. Control. Optim., 2016

Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty.

[BibT_eX]

[DOI]

Math. Oper. Res., 2016

Stochastic Perron for Stochastic Target Problems.

[BibT_eX]

[DOI]

Jiaqi Li

J. Optim. Theory Appl., 2016

2015

On Hedging American Options under Model Uncertainty.

[BibT_eX]

[DOI]

Yu-Jui Huang

SIAM J. Financial Math., 2015

Stochastic Perron's Method for the Probability of Lifetime Ruin Problem Under Transaction Costs.

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2015

Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion.

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2015

Byzantine Fault Tolerant Distributed Quickest Change Detection.

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2015

2014

Bayesian Quickest Change-Point Detection With Sampling Right Constraints.

[BibT_eX]

[DOI]

Jun Geng

IEEE Trans. Inf. Theory, 2014

On Controller-Stopper Problems with Jumps and Their Applications to Indifference Pricing of American Options.

[BibT_eX]

[DOI]

SIAM J. Financial Math., 2014

On the Robust Optimal Stopping Problem.

[BibT_eX]

[DOI]

Song Yao

SIAM J. Control. Optim., 2014

2013

A Weak Dynamic Programming Principle for Zero-Sum Stochastic Differential Games with Unbounded Controls.

[BibT_eX]

[DOI]

Song Yao

SIAM J. Control. Optim., 2013

Stochastic Perron's Method for Hamilton-Jacobi-Bellman Equations.

[BibT_eX]

[DOI]

Mihai Sîrbu

SIAM J. Control. Optim., 2013

On the Multidimensional Controller-and-Stopper Games.

[BibT_eX]

[DOI]

Yu-Jui Huang

SIAM J. Control. Optim., 2013

On the Impulse Control of Jump Diffusions.

[BibT_eX]

[DOI]

Thomas Emmerling

José-Luis Menaldi

SIAM J. Control. Optim., 2013

Robust Optimal Stopping under Volatility Uncertainty

[BibT_eX]

[DOI]

Song Yao

CoRR, 2013

2012

Valuation Equations for Stochastic Volatility Models.

[BibT_eX]

[DOI]

Constantinos Kardaras

SIAM J. Financial Math., 2012

Regularity of the Optimal Stopping Problem for Jump Diffusions.

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2012

Strict local martingale deflators and valuing American call-type options.

[BibT_eX]

[DOI]

Constantinos Kardaras

Finance Stochastics, 2012

Quickest Detection with Discretely Controlled Observations

[BibT_eX]

[DOI]

Ross Kravitz

CoRR, 2012

Quickest Search over Brownian Channels

[BibT_eX]

[DOI]

Ross Kravitz

CoRR, 2012

Quickest change point detection with sampling right constraints.

[BibT_eX]

[DOI]

Jun Geng

Proceedings of the 50th Annual Allerton Conference on Communication, 2012

2011

Proving regularity of the minimal probability of ruin via a game of stopping and control.

[BibT_eX]

[DOI]

Finance Stochastics, 2011

A Stochastic Approximation for Fully Nonlinear Free Boundary Problems

[BibT_eX]

[DOI]

Arash Fahim

CoRR, 2011

Liquidation in Limit Order Books with Controlled Intensity

[BibT_eX]

[DOI]

Michael Ludkovski

CoRR, 2011

Probabilistic Perron's method and verification without smoothness using viscosity comparison: the linear case

[BibT_eX]

[DOI]

Mihai Sîrbu

CoRR, 2011

2010

On the One-Dimensional Optimal Switching Problem.

[BibT_eX]

[DOI]

Math. Oper. Res., 2010

A unified treatment of dividend payment problems under fixed cost and implementation delays.

[BibT_eX]

[DOI]

Math. Methods Oper. Res., 2010

On the Multi-Dimensional Controller and Stopper Games.

[BibT_eX]

[DOI]

Yu-Jui Huang

CoRR, 2010

Optimal investment strategy to minimize occupation time.

[BibT_eX]

[DOI]

Ann. Oper. Res., 2010

Inventory management with partially observed nonstationary demand.

[BibT_eX]

[DOI]

Michael Ludkovski

Ann. Oper. Res., 2010

2009

Analysis of the Optimal Exercise Boundary of American Options for Jump Diffusions.

[BibT_eX]

[DOI]

SIAM J. Math. Anal., 2009

A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions.

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2009

Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions.

[BibT_eX]

[DOI]

Math. Methods Oper. Res., 2009

2008

An Analysis of Monotone Follower Problems for Diffusion Processes.

[BibT_eX]

[DOI]

Math. Oper. Res., 2008

Optimal time to change premiums.

[BibT_eX]

[DOI]

Math. Methods Oper. Res., 2008

Optimizing venture capital investments in a jump diffusion model.

[BibT_eX]

[DOI]

Math. Methods Oper. Res., 2008

2007

Quickest Detection of a Minimum of Two Poisson Disorder Times.

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2007

Correspondence between lifetime minimum wealth and utility of consumption.

[BibT_eX]

[DOI]

Finance Stochastics, 2007

A Unified Framework for Pricing Credit and Equity Derivatives

[BibT_eX]

[DOI]

Bo Yang

CoRR, 2007

Pricing Asian Options for Jump Diffusions

[BibT_eX]

[DOI]

CoRR, 2007

A Note on Pricing Options on Defaultable Stocks

[BibT_eX]

[DOI]

CoRR, 2007

An Efficient Method for Pricing American Options for Jump Diffusions

[BibT_eX]

[DOI]

CoRR, 2007

2006

A Limit Theorem for Financial Markets with Inert Investors.

[BibT_eX]

[DOI]

Ulrich Horst

Ronnie Sircar

Math. Oper. Res., 2006

Poisson Disorder Problem with Exponential Penalty for Delay.

[BibT_eX]

[DOI]

Savas Dayanik

Math. Oper. Res., 2006

Adaptive Poisson disorder problem

[BibT_eX]

[DOI]

Savas Dayanik

Ioannis Karatzas

CoRR, 2006

2005

Stochastic Differential Games in a Non-Markovian Setting.

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2005

Prediction and tracking of long-range-dependent sequences.

[BibT_eX]

[DOI]

Raghuveer M. Rao

Syst. Control. Lett., 2005

Projecting the Forward Rate Flow onto a Finite Dimensional Manifold

[BibT_eX]

[DOI]

Li Chen

CoRR, 2005

Consistency Problems for Jump-Diffusion Models

[BibT_eX]

[DOI]

Li Chen

CoRR, 2005

Arbitrage in Fractal Modulated Markets When the Volatility is Stochastic

[BibT_eX]

[DOI]

CoRR, 2005

Quickest Detection of a Minimum of Disorder Times.

[BibT_eX]

[DOI]

Proceedings of the 44th IEEE IEEE Conference on Decision and Control and 8th European Control Conference Control, 2005

2003

Efficient estimation of the Hurst parameter in high frequency financial data with seasonalities using wavelets.

[BibT_eX]

[DOI]