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Author ID: ludkovski.michael Recent zbMATH articles by "Ludkovski, Michael"
Published as: Ludkovski, Michael; Ludkovski, Mike; Ludkovski, M.
Homepage: http://www.pstat.ucsb.edu/faculty/ludkovski/
External Links: MGP · ORCID

Publications by Year

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 1203.91286
Carmona, René; Ludkovski, Michael
39
2010
Liquidation in limit order books with controlled intensity. Zbl 1314.91247
Bayraktar, Erhan; Ludkovski, Michael
34
2014
Pricing asset scheduling flexibility using optimal switching. Zbl 1156.91361
Carmona, Renè; Ludkovski, Michael
24
2008
On comonotonicity of Pareto optimal risk sharing. Zbl 1140.91424
Ludkovski, Michael; Rüschendorf, Ludger
23
2008
Optimal risk sharing under distorted probabilities. Zbl 1255.91182
Ludkovski, Michael; Young, Virginia R.
22
2009
Optimal trade execution in illiquid markets. Zbl 1233.91335
Bayraktar, Erhan; Ludkovski, Michael
20
2011
Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates. Zbl 1141.91531
Ludkovski, Michael; Young, Virginia R.
14
2008
European option pricing with liquidity shocks. Zbl 1302.91182
Ludkovski, Michael; Shen, Qunying
12
2013
Sequential design for optimal stopping problems. Zbl 1320.91154
Gramacy, Robert B.; Ludkovski, Michael
11
2015
Impact of counterparty risk on the reinsurance market. Zbl 1291.91091
Bernard, Carole; Ludkovski, Mike
10
2012
Sequential tracking of a hidden Markov chain using point process observations. Zbl 1163.62062
Bayraktar, Erhan; Ludkovski, Michael
10
2009
Inventory management with partially observed nonstationary demand. Zbl 1194.90008
Bayraktar, Erhan; Ludkovski, Michael
8
2010
Spot convenience yield models for the energy markets. Zbl 1055.62113
Carmona, René; Ludkovski, Michael
8
2004
Optimal timing to purchase options. Zbl 1260.91239
Leung, Tim; Ludkovski, Mike
7
2011
Finite horizon decision timing with partially observable Poisson processes. Zbl 1244.62008
Ludkovski, Michael; Sezer, Semih O.
7
2012
Optimal execution with dynamic order flow imbalance. Zbl 1326.93128
Bechler, Kyle; Ludkovski, Michael
7
2015
Sequential Bayesian inference in hidden Markov stochastic kinetic models with application to detection and response to seasonal epidemics. Zbl 1332.62272
Lin, Junjing; Ludkovski, Michael
6
2014
Statistical emulators for pricing and hedging longevity risk products. Zbl 1369.91095
Risk, J.; Ludkovski, M.
6
2016
Technology ladders and R&D in dynamic Cournot markets. Zbl 1401.91265
Ludkovski, Michael; Sircar, Ronnie
6
2016
Accounting for risk aversion in derivatives purchase timing. Zbl 1260.91240
Leung, Tim; Ludkovski, Mike
5
2012
Exploration and exhaustibility in dynamic Cournot games. Zbl 1239.91121
Ludkovski, Michael; Sircar, Ronnie
5
2012
Financial hedging of operational flexibility. Zbl 1180.91305
Ludkovski, Michael
4
2008
Gaussian process models for mortality rates and improvement factors. Zbl 1403.62193
Ludkovski, Mike; Risk, Jimmy; Zail, Howard
4
2018
Sequential design and spatial modeling for portfolio tail risk measurement. Zbl 1419.91658
Risk, Jimmy; Ludkovski, Michael
3
2018
Priority option: the value of being a leader. Zbl 1275.91144
Grasselli, M. R.; Leclère, V.; Ludkovski, M.
3
2013
Dynamic contagion in a banking system with births and defaults. Zbl 1431.91421
Ichiba, Tomoyuki; Ludkovski, Michael; Sarantsev, Andrey
2
2019
Monte Carlo methods for adaptive disorder problems. Zbl 1252.65007
Ludkovski, Michael
2
2012
A simulation approach to optimal stopping under partial information. Zbl 1191.65006
Ludkovski, Michael
2
2009
Capacity expansion games with application to competition in power generation investments. Zbl 1401.91037
Aïd, René; Li, Liangchen; Ludkovski, Michael
2
2017
Stochastic switching games and duopolistic competition in emissions markets. Zbl 1252.91008
Ludkovski, Michael
1
2011
Bayesian quickest detection in sensor arrays. Zbl 1275.62030
Ludkovski, Michael
1
2012
Filling the gap between American and Russian options: adjustable regret. Zbl 1124.60039
Dayanik, Savas; Ludkovski, Michael
1
2007
Statistical learning for probability-constrained stochastic optimal control. Zbl 07354617
Balata, Alessandro; Ludkovski, Michael; Maheshwari, Aditya; Palczewski, Jan
1
2021
A machine learning approach to adaptive robust utility maximization and hedging. Zbl 1476.91143
Chen, Tao; Ludkovski, Michael
1
2021
Statistical learning for probability-constrained stochastic optimal control. Zbl 07354617
Balata, Alessandro; Ludkovski, Michael; Maheshwari, Aditya; Palczewski, Jan
1
2021
A machine learning approach to adaptive robust utility maximization and hedging. Zbl 1476.91143
Chen, Tao; Ludkovski, Michael
1
2021
Dynamic contagion in a banking system with births and defaults. Zbl 1431.91421
Ichiba, Tomoyuki; Ludkovski, Michael; Sarantsev, Andrey
2
2019
Gaussian process models for mortality rates and improvement factors. Zbl 1403.62193
Ludkovski, Mike; Risk, Jimmy; Zail, Howard
4
2018
Sequential design and spatial modeling for portfolio tail risk measurement. Zbl 1419.91658
Risk, Jimmy; Ludkovski, Michael
3
2018
Capacity expansion games with application to competition in power generation investments. Zbl 1401.91037
Aïd, René; Li, Liangchen; Ludkovski, Michael
2
2017
Statistical emulators for pricing and hedging longevity risk products. Zbl 1369.91095
Risk, J.; Ludkovski, M.
6
2016
Technology ladders and R&D in dynamic Cournot markets. Zbl 1401.91265
Ludkovski, Michael; Sircar, Ronnie
6
2016
Sequential design for optimal stopping problems. Zbl 1320.91154
Gramacy, Robert B.; Ludkovski, Michael
11
2015
Optimal execution with dynamic order flow imbalance. Zbl 1326.93128
Bechler, Kyle; Ludkovski, Michael
7
2015
Liquidation in limit order books with controlled intensity. Zbl 1314.91247
Bayraktar, Erhan; Ludkovski, Michael
34
2014
Sequential Bayesian inference in hidden Markov stochastic kinetic models with application to detection and response to seasonal epidemics. Zbl 1332.62272
Lin, Junjing; Ludkovski, Michael
6
2014
European option pricing with liquidity shocks. Zbl 1302.91182
Ludkovski, Michael; Shen, Qunying
12
2013
Priority option: the value of being a leader. Zbl 1275.91144
Grasselli, M. R.; Leclère, V.; Ludkovski, M.
3
2013
Impact of counterparty risk on the reinsurance market. Zbl 1291.91091
Bernard, Carole; Ludkovski, Mike
10
2012
Finite horizon decision timing with partially observable Poisson processes. Zbl 1244.62008
Ludkovski, Michael; Sezer, Semih O.
7
2012
Accounting for risk aversion in derivatives purchase timing. Zbl 1260.91240
Leung, Tim; Ludkovski, Mike
5
2012
Exploration and exhaustibility in dynamic Cournot games. Zbl 1239.91121
Ludkovski, Michael; Sircar, Ronnie
5
2012
Monte Carlo methods for adaptive disorder problems. Zbl 1252.65007
Ludkovski, Michael
2
2012
Bayesian quickest detection in sensor arrays. Zbl 1275.62030
Ludkovski, Michael
1
2012
Optimal trade execution in illiquid markets. Zbl 1233.91335
Bayraktar, Erhan; Ludkovski, Michael
20
2011
Optimal timing to purchase options. Zbl 1260.91239
Leung, Tim; Ludkovski, Mike
7
2011
Stochastic switching games and duopolistic competition in emissions markets. Zbl 1252.91008
Ludkovski, Michael
1
2011
Valuation of energy storage: an optimal switching approach. Zbl 1203.91286
Carmona, René; Ludkovski, Michael
39
2010
Inventory management with partially observed nonstationary demand. Zbl 1194.90008
Bayraktar, Erhan; Ludkovski, Michael
8
2010
Optimal risk sharing under distorted probabilities. Zbl 1255.91182
Ludkovski, Michael; Young, Virginia R.
22
2009
Sequential tracking of a hidden Markov chain using point process observations. Zbl 1163.62062
Bayraktar, Erhan; Ludkovski, Michael
10
2009
A simulation approach to optimal stopping under partial information. Zbl 1191.65006
Ludkovski, Michael
2
2009
Pricing asset scheduling flexibility using optimal switching. Zbl 1156.91361
Carmona, Renè; Ludkovski, Michael
24
2008
On comonotonicity of Pareto optimal risk sharing. Zbl 1140.91424
Ludkovski, Michael; Rüschendorf, Ludger
23
2008
Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates. Zbl 1141.91531
Ludkovski, Michael; Young, Virginia R.
14
2008
Financial hedging of operational flexibility. Zbl 1180.91305
Ludkovski, Michael
4
2008
Filling the gap between American and Russian options: adjustable regret. Zbl 1124.60039
Dayanik, Savas; Ludkovski, Michael
1
2007
Spot convenience yield models for the energy markets. Zbl 1055.62113
Carmona, René; Ludkovski, Michael
8
2004
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

Citations by Year