A groundwater market model

Authors: Cialenco, Igor, Ludkovski, Michael

Subject Terms: Quantitative Finance - General Finance, Mathematics - Optimization and Control, 91B76, 91A10, 91B72, 91B70

Access URL: http://arxiv.org/abs/2501.14071

Extreme Scenario Selection in Day-Ahead Power Grid Operational Planning

Authors: Terrén-Serrano, Guillermo, Ludkovski, Michael

Subject Terms: Statistics - Machine Learning, Computer Science - Computational Engineering, Finance, and Science, Computer Science - Machine Learning

Access URL: http://arxiv.org/abs/2309.11067

A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging

Authors: Chen, Tao, Ludkovski, Michael

Subject Terms: Mathematics - Optimization and Control, Quantitative Finance - Computational Finance

Access URL: http://arxiv.org/abs/1912.00244

Statistical Learning for Probability-Constrained Stochastic Optimal Control

Authors: Balata, Alessandro, Ludkovski, Michael, Maheshwari, Aditya, Palczewski, Jan

Subject Terms: Mathematics - Optimization and Control, Quantitative Finance - Computational Finance

Access URL: http://arxiv.org/abs/1905.00107

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Dynamic Contagion in a Banking System with Births and Defaults

Authors: Ichiba, Tomoyuki, Ludkovski, Michael, Sarantsev, Andrey

Subject Terms: Mathematics - Probability, 60J70, 60J75, 60K35, 91B70

Access URL: http://arxiv.org/abs/1807.09897

Evaluating Gaussian Process Metamodels and Sequential Designs for Noisy Level Set Estimation

Authors: Lyu, Xiong, Binois, Mickael, Ludkovski, Michael

Subject Terms: Statistics - Machine Learning, Computer Science - Machine Learning

Access URL: http://arxiv.org/abs/1807.06712

Stochastic Switching Games

Authors: Li, Liangchen, Ludkovski, Michael

Subject Terms: Economics - General Economics, 91A15, 91B52, 93E20, 62L15

Access URL: http://arxiv.org/abs/1807.03893

Simulation Methods for Stochastic Storage Problems: A Statistical Learning Perspective

Authors: Ludkovski, Michael, Maheshwari, Aditya

Subject Terms: Quantitative Finance - Computational Finance, Mathematics - Optimization and Control

Access URL: http://arxiv.org/abs/1803.11309

Adaptive batching for Gaussian process surrogates with application in noisy level set estimation

Authors: Lyu, Xiong, Ludkovski, Michael

Source: Statistical analysis and data mining. 15(2):225-246

Availability: http://explore.bl.uk/primo_library/libweb/action/display.do?tabs=detailsTab&gathStatTab=true&ct=display&fn=search&doc=ETOCvdc_100144678134.0x000001&indx=1&recIds=ETOCvdc_100144678134.0x000001

Generalized Probabilistic Bisection for Stochastic Root-Finding

Authors: Rodriguez, Sergio, Ludkovski, Michael

Subject Terms: Statistics - Machine Learning, Computer Science - Learning

Access URL: http://arxiv.org/abs/1711.00843

Mean Field Game Approach to Production and Exploration of Exhaustible Commodities

Authors: Ludkovski, Michael, Yang, Xuwei

Subject Terms: Quantitative Finance - Economics

Access URL: http://arxiv.org/abs/1710.05131

Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement

Authors: Ludkovski, Michael, Risk, James

Subject Terms: Quantitative Finance - Risk Management

Access URL: http://arxiv.org/abs/1710.05204

Order Flows and Limit Order Book Resiliency on the Meso-Scale

Authors: Bechler, Kyle, Ludkovski, Michael

Subject Terms: Quantitative Finance - Trading and Market Microstructure

Access URL: http://arxiv.org/abs/1708.02715

Bayesian quickest detection with observation-changepoint feedback

Authors: Ludkovski, Michael

Source: 2012 IEEE 51st IEEE Conference on Decision and Control (CDC) Decision and Control (CDC), 2012 IEEE 51st Annual Conference on. :166-171 Dec, 2012

Relation: 2012 IEEE 51st Annual Conference on Decision and Control (CDC)

Practical heteroskedastic Gaussian process modeling for large simulation experiments

Authors: Binois, Mickael, Gramacy, Robert B., Ludkovski, Michael

Subject Terms: Statistics - Methodology, Statistics - Computation

Access URL: http://arxiv.org/abs/1611.05902

Bayesian Epidemic Detection in Multiple Populations

Authors: Ludkovski, Michael, Shatskikh, Katherine

Subject Terms: Statistics - Computation

Access URL: http://arxiv.org/abs/1509.04229

Kriging Metamodels and Experimental Design for Bermudan Option Pricing

Authors: Ludkovski, Michael

Subject Terms: Quantitative Finance - Computational Finance, Statistics - Methodology

Access URL: http://arxiv.org/abs/1509.02179

Statistical Emulators for Pricing and Hedging Longevity Risk Products

Authors: Risk, James, Ludkovski, Michael

Subject Terms: Quantitative Finance - Statistical Finance

Access URL: http://arxiv.org/abs/1508.00310