173 results in 93Exx
Stability with respect to initial conditions in V-norm for nonlinear filters with ergodic observations
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- Journal of Applied Probability / Volume 54 / Issue 1 / March 2017
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- 04 April 2017, pp. 118-133
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- March 2017
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A stochastic differential game for quadratic-linear diffusion processes
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- Advances in Applied Probability / Volume 48 / Issue 4 / December 2016
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- 11 January 2017, pp. 1161-1182
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- December 2016
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A generalization of the Mabinogion sheep problem of D. Williams
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- Journal of Applied Probability / Volume 53 / Issue 4 / December 2016
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- 09 December 2016, pp. 1240-1256
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- December 2016
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Dynamic programming for discrete-time finite-horizon optimal switching problems with negative switching costs
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- Advances in Applied Probability / Volume 48 / Issue 3 / September 2016
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- 19 September 2016, pp. 832-847
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- September 2016
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OPTIMAL MEAN–VARIANCE REINSURANCE WITH COMMON SHOCK DEPENDENCE
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- The ANZIAM Journal / Volume 58 / Issue 2 / October 2016
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- 30 August 2016, pp. 162-181
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The sound of silence: equilibrium filtering and optimal censoring in financial markets
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- Advances in Applied Probability / Volume 48 / Issue A / July 2016
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- 25 July 2016, pp. 119-144
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- July 2016
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Maximizing the variance of the time to ruin in a multiplayer game with selection
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- Advances in Applied Probability / Volume 48 / Issue 2 / June 2016
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- 10 June 2016, pp. 610-630
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- June 2016
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Irreversible investment under Lévy uncertainty: an equation for the optimal boundary
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- Advances in Applied Probability / Volume 48 / Issue 1 / March 2016
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- 24 March 2016, pp. 298-314
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- March 2016
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Finite-horizon optimality for continuous-time Markov decision processes with unbounded transition rates
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- Advances in Applied Probability / Volume 47 / Issue 4 / December 2015
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- 21 March 2016, pp. 1064-1087
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- December 2015
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Countable state Markov decision processes with unbounded jump rates and discounted cost: optimality equation and approximations
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- Advances in Applied Probability / Volume 47 / Issue 4 / December 2015
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- 21 March 2016, pp. 1088-1107
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- December 2015
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Partially informed investors: hedging in an incomplete market with default
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- Journal of Applied Probability / Volume 52 / Issue 3 / September 2015
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- 30 March 2016, pp. 718-735
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- September 2015
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On the asymptotic optimality of greedy index heuristics for multi-action restless bandits
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- Advances in Applied Probability / Volume 47 / Issue 3 / September 2015
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- 21 March 2016, pp. 652-667
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- September 2015
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The Kalman-Bucy filter for integrable Lévy processes with infinite second moment
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- Journal of Applied Probability / Volume 52 / Issue 3 / September 2015
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- 30 March 2016, pp. 636-648
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- September 2015
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First Passage Optimality and Variance Minimisation of Markov Decision Processes with Varying Discount Factors
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- Journal of Applied Probability / Volume 52 / Issue 2 / June 2015
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- 30 January 2018, pp. 441-456
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- June 2015
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Computational Inference Beyond Kingman's Coalescent
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- Journal of Applied Probability / Volume 52 / Issue 2 / June 2015
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- 30 January 2018, pp. 519-537
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- June 2015
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Sample-Path Optimal Stationary Policies in Stable Markov Decision Chains with the Average Reward Criterion
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- Journal of Applied Probability / Volume 52 / Issue 2 / June 2015
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- 30 January 2018, pp. 419-440
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- June 2015
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The Kruskal-Katona Theorem and a Characterization of System Signatures
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- Journal of Applied Probability / Volume 52 / Issue 2 / June 2015
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- 30 January 2018, pp. 508-518
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- June 2015
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Optimal Dividend Policy when Cash Reserves Follow a Jump-Diffusion Process Under Markov-Regime Switching
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- Journal of Applied Probability / Volume 52 / Issue 1 / March 2015
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- 30 January 2018, pp. 209-223
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- March 2015
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The stochastic filtering problem: a brief historical account
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- Journal of Applied Probability / Volume 51 / Issue A / December 2014
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- 30 March 2016, pp. 13-22
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- December 2014
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OPTIMAL TIME-CONSISTENT PORTFOLIO AND CONTRIBUTION SELECTION FOR DEFINED BENEFIT PENSION SCHEMES UNDER MEAN–VARIANCE CRITERION
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- The ANZIAM Journal / Volume 56 / Issue 1 / July 2014
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- 09 October 2014, pp. 66-90
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