Edit Profile (opens in new tab) Ludkovski, Michael Compute Distance To: Compute Author ID: ludkovski.michael Published as: Ludkovski, Michael; Ludkovski, Mike; Ludkovski, M. Homepage: http://www.pstat.ucsb.edu/faculty/ludkovski/ External Links: MGP · ORCID Documents Indexed: 42 Publications since 2001 1 Contribution as Editor Co-Authors: 31 Co-Authors with 36 Joint Publications 634 Co-Co-Authors all top 5 Co-Authors 5 single-authored 5 Bayraktar, Erhan 3 Aïd, René 3 Carmona, René A. 3 Risk, Jimmy 3 Sircar, Ronnie 2 Binois, Mickaël 2 Gramacy, Robert B. 2 Leung, Tim 2 Li, Liangchen 2 Young, Virginia R. 1 Balata, Alessandro 1 Bechler, Kyle 1 Bernard, Carole L. 1 Campi, Luciano 1 Dayanik, Savas 1 Duncan, Ian 1 Gong, Guang 1 Grasselli, Matheus R. 1 Hadjiliadis, Olympia 1 Ichiba, Tomoyuki 1 Leclère, Vincent 1 Lin, Junjing 1 Lyu, Xiong 1 Maheshwari, Aditya 1 Palczewski, Jan 1 Rüschendorf, Ludger 1 Sarantsev, Andrey 1 Sezer, Semih Onur 1 Shen, Qunying 1 Yang, Heng 1 Zail, Howard all top 5 Serials 6 SIAM Journal on Financial Mathematics 3 International Journal of Theoretical and Applied Finance 3 North American Actuarial Journal 2 Insurance Mathematics & Economics 2 Journal of Economic Dynamics & Control 2 European Journal of Operational Research 2 Stochastic Processes and their Applications 2 Mathematical Finance 2 Stochastics 2 Mathematics and Financial Economics 2 Statistics and Computing 1 Statistics & Probability Letters 1 Sequential Analysis 1 European Journal of Applied Mathematics 1 Annals of Operations Research 1 Applied Mathematical Finance 1 Quantitative Finance 1 Stochastic Models 1 ASTIN Bulletin 1 Fields Institute Communications 1 Journal of Computational and Graphical Statistics 1 Dynamic Games and Applications 1 Annals of Finance all top 5 Fields 30 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 19 Statistics (62-XX) 15 Probability theory and stochastic processes (60-XX) 10 Systems theory; control (93-XX) 7 Numerical analysis (65-XX) 5 Operations research, mathematical programming (90-XX) 2 Information and communication theory, circuits (94-XX) 1 General and overarching topics; collections (00-XX) 1 Functional analysis (46-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Biology and other natural sciences (92-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 34 Publications have been cited 311 times in 272 Documents Cited by ▼ Year ▼ Valuation of energy storage: an optimal switching approach. Zbl 1203.91286Carmona, René; Ludkovski, Michael 39 2010 Liquidation in limit order books with controlled intensity. Zbl 1314.91247Bayraktar, Erhan; Ludkovski, Michael 34 2014 Pricing asset scheduling flexibility using optimal switching. Zbl 1156.91361Carmona, Renè; Ludkovski, Michael 24 2008 On comonotonicity of Pareto optimal risk sharing. Zbl 1140.91424Ludkovski, Michael; Rüschendorf, Ludger 23 2008 Optimal risk sharing under distorted probabilities. Zbl 1255.91182Ludkovski, Michael; Young, Virginia R. 22 2009 Optimal trade execution in illiquid markets. Zbl 1233.91335Bayraktar, Erhan; Ludkovski, Michael 20 2011 Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates. Zbl 1141.91531Ludkovski, Michael; Young, Virginia R. 14 2008 European option pricing with liquidity shocks. Zbl 1302.91182Ludkovski, Michael; Shen, Qunying 12 2013 Sequential design for optimal stopping problems. Zbl 1320.91154Gramacy, Robert B.; Ludkovski, Michael 11 2015 Impact of counterparty risk on the reinsurance market. Zbl 1291.91091Bernard, Carole; Ludkovski, Mike 10 2012 Sequential tracking of a hidden Markov chain using point process observations. Zbl 1163.62062Bayraktar, Erhan; Ludkovski, Michael 10 2009 Inventory management with partially observed nonstationary demand. Zbl 1194.90008Bayraktar, Erhan; Ludkovski, Michael 8 2010 Spot convenience yield models for the energy markets. Zbl 1055.62113Carmona, René; Ludkovski, Michael 8 2004 Optimal timing to purchase options. Zbl 1260.91239Leung, Tim; Ludkovski, Mike 7 2011 Finite horizon decision timing with partially observable Poisson processes. Zbl 1244.62008Ludkovski, Michael; Sezer, Semih O. 7 2012 Optimal execution with dynamic order flow imbalance. Zbl 1326.93128Bechler, Kyle; Ludkovski, Michael 7 2015 Sequential Bayesian inference in hidden Markov stochastic kinetic models with application to detection and response to seasonal epidemics. Zbl 1332.62272Lin, Junjing; Ludkovski, Michael 6 2014 Statistical emulators for pricing and hedging longevity risk products. Zbl 1369.91095Risk, J.; Ludkovski, M. 6 2016 Technology ladders and R&D in dynamic Cournot markets. Zbl 1401.91265Ludkovski, Michael; Sircar, Ronnie 6 2016 Accounting for risk aversion in derivatives purchase timing. Zbl 1260.91240Leung, Tim; Ludkovski, Mike 5 2012 Exploration and exhaustibility in dynamic Cournot games. Zbl 1239.91121Ludkovski, Michael; Sircar, Ronnie 5 2012 Financial hedging of operational flexibility. Zbl 1180.91305Ludkovski, Michael 4 2008 Gaussian process models for mortality rates and improvement factors. Zbl 1403.62193Ludkovski, Mike; Risk, Jimmy; Zail, Howard 4 2018 Sequential design and spatial modeling for portfolio tail risk measurement. Zbl 1419.91658Risk, Jimmy; Ludkovski, Michael 3 2018 Priority option: the value of being a leader. Zbl 1275.91144Grasselli, M. R.; Leclère, V.; Ludkovski, M. 3 2013 Dynamic contagion in a banking system with births and defaults. Zbl 1431.91421Ichiba, Tomoyuki; Ludkovski, Michael; Sarantsev, Andrey 2 2019 Monte Carlo methods for adaptive disorder problems. Zbl 1252.65007Ludkovski, Michael 2 2012 A simulation approach to optimal stopping under partial information. Zbl 1191.65006Ludkovski, Michael 2 2009 Capacity expansion games with application to competition in power generation investments. Zbl 1401.91037Aïd, René; Li, Liangchen; Ludkovski, Michael 2 2017 Stochastic switching games and duopolistic competition in emissions markets. Zbl 1252.91008Ludkovski, Michael 1 2011 Bayesian quickest detection in sensor arrays. Zbl 1275.62030Ludkovski, Michael 1 2012 Filling the gap between American and Russian options: adjustable regret. Zbl 1124.60039Dayanik, Savas; Ludkovski, Michael 1 2007 Statistical learning for probability-constrained stochastic optimal control. Zbl 07354617Balata, Alessandro; Ludkovski, Michael; Maheshwari, Aditya; Palczewski, Jan 1 2021 A machine learning approach to adaptive robust utility maximization and hedging. Zbl 1476.91143Chen, Tao; Ludkovski, Michael 1 2021 Statistical learning for probability-constrained stochastic optimal control. Zbl 07354617Balata, Alessandro; Ludkovski, Michael; Maheshwari, Aditya; Palczewski, Jan 1 2021 A machine learning approach to adaptive robust utility maximization and hedging. Zbl 1476.91143Chen, Tao; Ludkovski, Michael 1 2021 Dynamic contagion in a banking system with births and defaults. Zbl 1431.91421Ichiba, Tomoyuki; Ludkovski, Michael; Sarantsev, Andrey 2 2019 Gaussian process models for mortality rates and improvement factors. Zbl 1403.62193Ludkovski, Mike; Risk, Jimmy; Zail, Howard 4 2018 Sequential design and spatial modeling for portfolio tail risk measurement. Zbl 1419.91658Risk, Jimmy; Ludkovski, Michael 3 2018 Capacity expansion games with application to competition in power generation investments. Zbl 1401.91037Aïd, René; Li, Liangchen; Ludkovski, Michael 2 2017 Statistical emulators for pricing and hedging longevity risk products. Zbl 1369.91095Risk, J.; Ludkovski, M. 6 2016 Technology ladders and R&D in dynamic Cournot markets. Zbl 1401.91265Ludkovski, Michael; Sircar, Ronnie 6 2016 Sequential design for optimal stopping problems. Zbl 1320.91154Gramacy, Robert B.; Ludkovski, Michael 11 2015 Optimal execution with dynamic order flow imbalance. Zbl 1326.93128Bechler, Kyle; Ludkovski, Michael 7 2015 Liquidation in limit order books with controlled intensity. Zbl 1314.91247Bayraktar, Erhan; Ludkovski, Michael 34 2014 Sequential Bayesian inference in hidden Markov stochastic kinetic models with application to detection and response to seasonal epidemics. Zbl 1332.62272Lin, Junjing; Ludkovski, Michael 6 2014 European option pricing with liquidity shocks. Zbl 1302.91182Ludkovski, Michael; Shen, Qunying 12 2013 Priority option: the value of being a leader. Zbl 1275.91144Grasselli, M. R.; Leclère, V.; Ludkovski, M. 3 2013 Impact of counterparty risk on the reinsurance market. Zbl 1291.91091Bernard, Carole; Ludkovski, Mike 10 2012 Finite horizon decision timing with partially observable Poisson processes. Zbl 1244.62008Ludkovski, Michael; Sezer, Semih O. 7 2012 Accounting for risk aversion in derivatives purchase timing. Zbl 1260.91240Leung, Tim; Ludkovski, Mike 5 2012 Exploration and exhaustibility in dynamic Cournot games. Zbl 1239.91121Ludkovski, Michael; Sircar, Ronnie 5 2012 Monte Carlo methods for adaptive disorder problems. Zbl 1252.65007Ludkovski, Michael 2 2012 Bayesian quickest detection in sensor arrays. Zbl 1275.62030Ludkovski, Michael 1 2012 Optimal trade execution in illiquid markets. Zbl 1233.91335Bayraktar, Erhan; Ludkovski, Michael 20 2011 Optimal timing to purchase options. Zbl 1260.91239Leung, Tim; Ludkovski, Mike 7 2011 Stochastic switching games and duopolistic competition in emissions markets. Zbl 1252.91008Ludkovski, Michael 1 2011 Valuation of energy storage: an optimal switching approach. Zbl 1203.91286Carmona, René; Ludkovski, Michael 39 2010 Inventory management with partially observed nonstationary demand. Zbl 1194.90008Bayraktar, Erhan; Ludkovski, Michael 8 2010 Optimal risk sharing under distorted probabilities. Zbl 1255.91182Ludkovski, Michael; Young, Virginia R. 22 2009 Sequential tracking of a hidden Markov chain using point process observations. Zbl 1163.62062Bayraktar, Erhan; Ludkovski, Michael 10 2009 A simulation approach to optimal stopping under partial information. Zbl 1191.65006Ludkovski, Michael 2 2009 Pricing asset scheduling flexibility using optimal switching. Zbl 1156.91361Carmona, Renè; Ludkovski, Michael 24 2008 On comonotonicity of Pareto optimal risk sharing. Zbl 1140.91424Ludkovski, Michael; Rüschendorf, Ludger 23 2008 Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates. Zbl 1141.91531Ludkovski, Michael; Young, Virginia R. 14 2008 Financial hedging of operational flexibility. Zbl 1180.91305Ludkovski, Michael 4 2008 Filling the gap between American and Russian options: adjustable regret. Zbl 1124.60039Dayanik, Savas; Ludkovski, Michael 1 2007 Spot convenience yield models for the energy markets. Zbl 1055.62113Carmona, René; Ludkovski, Michael 8 2004 all cited Publications top 5 cited Publications all top 5 Cited by 418 Authors 23 Ludkovski, Michael 13 Jaimungal, Sebastian 11 Cartea, Álvaro 11 Leung, Tim 10 Bayraktar, Erhan 10 Vulkov, Lubin G. 9 Boonen, Tim J. 8 Asimit, Alexandru V. 7 Koleva, Miglena Nikolaeva 6 Mudzimbabwe, Walter 5 Pham, Huyên 5 Sircar, Ronnie 5 Svindland, Gregor 4 Badescu, Alexandru M. 4 Donnelly, Ryan 4 Guéant, Olivier 4 Hamadene, Saïd 4 Hu, Junlei 4 Jiang, Wenjun 4 Kharroubi, Idris 4 Perninge, Magnus 4 Young, Virginia R. 3 Aïd, René 3 Campi, Luciano 3 Chassagneux, Jean-François 3 Cheung, Ka Chun 3 Djehiche, Boualem 3 Golightly, Andrew 3 Gyulov, Tihomir B. 3 Kim, Eunseok 3 Lehalle, Charles-Albert 3 Pagès, Gilles 3 Ren, Jiandong 3 Secomandi, Nicola 3 Sezer, Semih Onur 3 Tan, Ken Seng 3 Xu, Zuoquan 3 Zhuang, Sheng Chao 2 Agliardi, Rossella 2 Balata, Alessandro 2 Ballestra, Luca Vincenzo 2 Bardou, Olivier 2 Bäuerle, Nicole 2 Binois, Mickaël 2 Boomsma, Trine Krogh 2 Bouthemy, Sandrine 2 Carmona, René A. 2 Ceci, Claudia 2 Chevalier, Etienne 2 Chong, Wing Fung 2 Colaneri, Katia 2 Dana, Rose-Anne 2 Dayanik, Savas 2 Elie, Romuald 2 Fakhouri, Imade 2 Gaigi, M’hamed 2 Grechuk, Bogdan 2 Hinz, Juri 2 Hong, Hanping 2 Hu, Ruimeng 2 Hu, Ying 2 Jiang, Daniel R. 2 Johnson, Timothy C. 2 Kinzebulatov, Damir 2 Knispel, Thomas 2 Kratz, Peter 2 Li, Liangchen 2 Lipton, Alexander 2 Liu, Fangda 2 Lorig, Matthew J. 2 Ly Vath, Vathana 2 Ma, Jin 2 Maheshwari, Aditya 2 Morlais, Marie-Amelie 2 Nadarajah, Selvaprabu 2 Pacelli, Graziella 2 Palczewski, Jan 2 Powell, Warren Buckler 2 Ricci, Jason 2 Richou, Adrien 2 Schöneborn, Torsten 2 Tang, Shanjian 2 Tankov, Peter 2 Tsanakas, Andreas 2 Wang, Ruodu 2 Wang, Zheng 2 Warin, Xavier 2 Yee, Jeremy 2 Zabarankin, Michael 2 Zervos, Mihail 2 Zhang, Hongzhong 1 Aazizi, Soufiane 1 Agarwal, Ankush 1 Alasseur, Clemence 1 Alfonsi, Aurélien 1 Alghalith, Moawia 1 Amaral, L. R. 1 Andreoli, Alessandro 1 Angoshtari, Bahman 1 Arnold, Séverine ...and 318 more Authors all top 5 Cited in 84 Serials 26 Insurance Mathematics & Economics 14 European Journal of Operational Research 13 Quantitative Finance 12 Applied Mathematical Finance 12 SIAM Journal on Financial Mathematics 11 International Journal of Theoretical and Applied Finance 10 Mathematical Finance 8 Annals of Operations Research 7 Journal of Economic Dynamics & Control 7 Finance and Stochastics 7 ASTIN Bulletin 7 Mathematics and Financial Economics 6 SIAM Journal on Control and Optimization 6 Stochastic Processes and their Applications 6 Mathematical Methods of Operations Research 5 North American Actuarial Journal 4 Sequential Analysis 4 Methodology and Computing in Applied Probability 4 Statistics and Computing 3 Journal of Mathematical Analysis and Applications 3 Applied Mathematics and Optimization 3 Journal of Computational and Applied Mathematics 3 Journal of Mathematical Economics 3 Operations Research 3 International Journal of Computer Mathematics 3 Scandinavian Actuarial Journal 3 Stochastic Models 3 European Actuarial Journal 2 Journal of Optimization Theory and Applications 2 Mathematics of Operations Research 2 Operations Research Letters 2 Computers & Operations Research 2 European Journal of Applied Mathematics 2 The Annals of Applied Probability 2 SIAM Review 2 Bulletin des Sciences Mathématiques 2 INFORMS Journal on Computing 2 The ANZIAM Journal 2 Decisions in Economics and Finance 2 Stochastics 2 Dynamic Games and Applications 2 Annals of Finance 2 Journal of Dynamics and Games 1 Advances in Applied Probability 1 Physica A 1 Chaos, Solitons and Fractals 1 Automatica 1 Journal of Economic Theory 1 Journal of Multivariate Analysis 1 SIAM Journal on Numerical Analysis 1 Mathematical Social Sciences 1 Stochastic Analysis and Applications 1 Acta Applicandae Mathematicae 1 Applied Numerical Mathematics 1 Probability Theory and Related Fields 1 MCSS. Mathematics of Control, Signals, and Systems 1 Journal of Global Optimization 1 Numerical Algorithms 1 Computational Statistics and Data Analysis 1 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering 1 Economic Theory 1 Top 1 NoDEA. Nonlinear Differential Equations and Applications 1 Discrete and Continuous Dynamical Systems 1 Mathematical Problems in Engineering 1 European Journal of Control 1 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 1 Nonlinear Dynamics 1 Nonlinear Analysis. Real World Applications 1 Discrete and Continuous Dynamical Systems. Series B 1 Comptes Rendus. Mathématique. Académie des Sciences, Paris 1 Stochastics and Dynamics 1 Asia-Pacific Financial Markets 1 Review of Derivatives Research 1 Journal of Industrial and Management Optimization 1 Afrika Matematika 1 Mathematical Control and Related Fields 1 Statistics & Risk Modeling 1 EURO Journal on Computational Optimization 1 Dependence Modeling 1 SIAM/ASA Journal on Uncertainty Quantification 1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys 1 Philosophical Transactions of the Royal Society of London. A. Mathematical, Physical and Engineering Sciences 1 SN Operations Research Forum all top 5 Cited in 17 Fields 209 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 100 Probability theory and stochastic processes (60-XX) 74 Systems theory; control (93-XX) 43 Operations research, mathematical programming (90-XX) 39 Statistics (62-XX) 39 Numerical analysis (65-XX) 32 Calculus of variations and optimal control; optimization (49-XX) 12 Partial differential equations (35-XX) 6 Computer science (68-XX) 2 Ordinary differential equations (34-XX) 2 Integral equations (45-XX) 2 Functional analysis (46-XX) 2 Biology and other natural sciences (92-XX) 1 General and overarching topics; collections (00-XX) 1 Combinatorics (05-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year