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Nonhomogeneous bivariate compound Poisson process with short-term periodicity

Sakhaei, Ali; Nasiri, Parviz - In: The journal of operational risk 16 (2021) 3, pp. 1-18

Persistent link: https://www.econbiz.de/10013534116

Importance sampling in stochastic programming : a Markov chain Monte Carlo approach

Parpas, Panos; Ustun, Berk; Webster, Mort; Tran, Quang Kha - In: INFORMS journal on computing : JOC 27 (2015) 2, pp. 358-377

Persistent link: https://www.econbiz.de/10011291297

A non-parametric estimator for stochastic volatility density

Ouamaliche, Soufiane; Sayah, Awatef - In: International journal of computational economics and … 11 (2021) 4, pp. 349-367

Persistent link: https://www.econbiz.de/10012655445

When can we improve on sample average approximation for stochastic optimization?

Anderson, Edward J.; Nguyen, Harrison - In: Operations research letters 48 (2020) 5, pp. 566-572

Persistent link: https://www.econbiz.de/10012303409

Strategic experimentation with poisson bandits

Keller, Godfrey; Rady, Sven - 2009 - This version: April 8, 2009

We study a game of strategic experimentation with two-armed bandits where the risky arm distributes lump-sum payoffs according to a Poisson process. Its intensity is either high or low, and unknown to the players. We consider Markov perfect equilibria with beliefs as the state variable. As the...