Mike Ludkovski
Title
Cited by
Cited by
Year
Valuation of energy storage: An optimal switching approach
R Carmona, M Ludkovski
Quantitative finance 10 (4), 359-374, 2010
1922010
Liquidation in limit order books with controlled intensity
E Bayraktar, M Ludkovski
Mathematical Finance 24 (4), 627-650, 2014
1412014
Practical heteroscedastic gaussian process modeling for large simulation experiments
M Binois, RB Gramacy, M Ludkovski
Journal of Computational and Graphical Statistics 27 (4), 808-821, 2018
1172018
Pricing asset scheduling flexibility using optimal switching
R Carmona, M Ludkovski
Applied Mathematical Finance 15 (5-6), 405-447, 2008
1142008
Replication or exploration? Sequential design for stochastic simulation experiments
M Binois, J Huang, RB Gramacy, M Ludkovski
Technometrics 61 (1), 7-23, 2019
672019
Spot convenience yield models for the energy markets
R Carmona, M Ludkovski
Contemporary Mathematics 351, 65-80, 2004
66*2004
Optimal trade execution in illiquid markets
E Bayraktar, M Ludkovski
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2011
652011
On comonotonicity of Pareto optimal risk sharing
M Ludkovski, L Rüschendorf
Statistics & Probability Letters 78 (10), 1181-1188, 2008
622008
Optimal dynamic policies for influenza management
M Ludkovski, J Niemi
Statistical Communications in Infectious Diseases 2 (1), 2010
442010
Exploration and exhaustibility in dynamic Cournot games
M Ludkovski, R Sircar
European Journal of Applied Mathematics 23 (3), 343-372, 2012
412012
Optimal risk sharing under distorted probabilities
M Ludkovski, VR Young
Mathematics and Financial Economics 2 (2), 87-105, 2009
412009
Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates
M Ludkovski, VR Young
Insurance: Mathematics and Economics 42 (1), 14-30, 2008
402008
Kriging metamodels and experimental design for Bermudan option pricing
M Ludkovski
Journal of Computational Finance 22 (1), 2018
392018
Sequential design for optimal stopping problems
RB Gramacy, M Ludkovski
SIAM Journal on Financial Mathematics 6 (1), 748-775, 2015
392015
Optimal switching with applications to energy tolling agreements
M Ludkovski
Princeton University, 2005
392005
Testing alternative regression frameworks for predictive modeling of health care costs
I Duncan, M Loginov, M Ludkovski
North American Actuarial Journal 20 (1), 65-87, 2016
342016
Inventory management with partially observed nonstationary demand
E Bayraktar, M Ludkovski
Annals of Operations Research 176 (1), 7-39, 2010
312010
A simulation approach to optimal stopping under partial information
M Ludkovski
Stochastic processes and their applications 119 (12), 4061-4087, 2009
302009
Stochastic optimal coordination of small UAVs for target tracking using regression-based dynamic programming
SAP Quintero, M Ludkovski, JP Hespanha
Journal of Intelligent & Robotic Systems 82 (1), 135-162, 2016
262016
Impact of counterparty risk on the reinsurance market
C Bernard, M Ludkovski
North American Actuarial Journal 16 (1), 87-111, 2012
262012
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Articles 1–20