Exact Bayesian inference for Markov switching diffusions

Authors: Stumpf-Fétizon, Timothée, Łatuszyński, Krzysztof, Palczewski, Jan, Roberts, Gareth

Subject Terms: Statistics - Computation, G.3

Access URL: http://arxiv.org/abs/2502.09126

Stopper vs. singular-controller games with degenerate diffusions

Authors: Bovo, Andrea, De Angelis, Tiziano, Palczewski, Jan

Subject Terms: Mathematics - Optimization and Control, Mathematics - Probability, Quantitative Finance - Mathematical Finance, 91A05, 91A15, 60G40, 93E20, 49J40

Access URL: http://arxiv.org/abs/2312.00613

Convergence rate of numerical scheme for SDEs with a distributional drift in Besov space

Authors: Jáquez, Luis Mario Chaparro, Issoglio, Elena, Palczewski, Jan

Subject Terms: Mathematics - Probability, Mathematics - Numerical Analysis, 65C30 (Primary), 60H35, 65C20, 46F99 (Secondary)

Access URL: http://arxiv.org/abs/2309.11396

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Zero-sum stopper vs. singular-controller games with constrained control directions

Authors: Bovo, Andrea, De Angelis, Tiziano, Palczewski, Jan

Subject Terms: Mathematics - Optimization and Control, Mathematics - Probability, Quantitative Finance - Mathematical Finance, 91A05, 91A15, 60G40, 93E20, 49J40

Access URL: http://arxiv.org/abs/2306.05113

A Bayesian Mixture Model Approach to Expected Possession Values in Rugby League

Authors: Sawczuk, Thomas, Palczewska, Anna, Jones, Ben, Palczewski, Jan

Subject Terms: Statistics - Applications

Access URL: http://arxiv.org/abs/2212.10904

Exit game with private information

Authors: Kwon, H. Dharma, Palczewski, Jan

Subject Terms: Mathematics - Optimization and Control, Mathematics - Probability, Quantitative Finance - Mathematical Finance, 91A15, 91A27, 91A55, 60G40

Access URL: http://arxiv.org/abs/2210.01610

Use of Kernel Density Estimation to understand the spatial trends of attacking possessions in rugby league

Authors: Sawczuk, Thomas, Palczewska, Anna, Jones, Ben, Palczewski, Jan

Subject Terms: Statistics - Applications

Access URL: http://arxiv.org/abs/2206.07930

Evaluating the regional potential for emissions reduction using energy storage

Authors: Pimm, Andrew J., Barbour, Edward R., Cockerill, Tim T., Palczewski, Jan

Source: 2019 Offshore Energy and Storage Summit (OSES) Offshore Energy and Storage Summit (OSES), 2019. :1-6 Jul, 2019

Relation: 2019 Offshore Energy and Storage Summit (OSES)

On the continuity of optimal stopping surfaces for jump-diffusions

Authors: Cai, Cheng, De Angelis, Tiziano, Palczewski, Jan

Subject Terms: Mathematics - Probability, Mathematics - Optimization and Control, 60G40, 35R35, 60J60, 60J76

Access URL: http://arxiv.org/abs/2109.10810

Automatic model training under restrictive time constraints

Authors: Cironis, Lukas, Palczewski, Jan, Aivaliotis, Georgios

Subject Terms: Statistics - Machine Learning, Computer Science - Machine Learning, 93E35, 93E24

Access URL: http://arxiv.org/abs/2104.10746

The American put with finite-time maturity and stochastic interest rate

Authors: Cai, Cheng, De Angelis, Tiziano, Palczewski, Jan

Subject Terms: Quantitative Finance - Mathematical Finance, Mathematics - Probability, 91G20, 91G30, 93E20, 60J60, 35R35

Access URL: http://arxiv.org/abs/2104.08502

On the value of non-Markovian Dynkin games with partial and asymmetric information

Authors: De Angelis, Tiziano, Merkulov, Nikita, Palczewski, Jan

Subject Terms: Mathematics - Probability, Mathematics - Optimization and Control, Quantitative Finance - Mathematical Finance, 91A27, 91A55, 91A15, 60G07, 60G40

Access URL: http://arxiv.org/abs/2007.10643

RobustSPAM for Inference from Noisy Longitudinal Data and Preservation of Privacy

Authors: Palczewska, Anna, Palczewski, Jan, Aivaliotis, Georgios, Kowalik, Lukasz

Source: 2017 16th IEEE International Conference on Machine Learning and Applications (ICMLA) ICMLA Machine Learning and Applications (ICMLA), 2017 16th IEEE International Conference on. :344-351 Dec, 2017

Relation: 2017 16th IEEE International Conference on Machine Learning and Applications (ICMLA)

On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions

Authors: Cai, Cheng, De Angelis, Tiziano, Palczewski, Jan

Source: SIAM journal on control and optimization. 61(3):1513-1531

Availability: http://explore.bl.uk/primo_library/libweb/action/display.do?tabs=detailsTab&gathStatTab=true&ct=display&fn=search&doc=ETOCRN633272242&indx=1&recIds=ETOCRN633272242

Optimal hedging of a perpetual American put with a single trade

Authors: Cai, Cheng, De Angelis, Tiziano, Palczewski, Jan

Subject Terms: Quantitative Finance - Mathematical Finance, Mathematics - Probability, 91G10, 91G80, 60J60, 35R35

Access URL: http://arxiv.org/abs/2003.06249

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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On the solution uniqueness in portfolio optimization and risk analysis

Authors: Grechuk, Bogdan, Palczewski, Andrzej, Palczewski, Jan

Subject Terms: Quantitative Finance - Portfolio Management, Quantitative Finance - Mathematical Finance, 91G10 (Primary), 26B25, 90C25 (Secondary)

Access URL: http://arxiv.org/abs/1810.11299