Publications (29)
Regress-Later Monte Carlo for optimal control of Markov processes
Alessandro Balata, Jan Palczewski
We develop two Regression Monte Carlo algorithms (value and performance iteration) to solve general problems of optimal stochastic control of discrete-time Markov processes. We for…
Impulse control maximising average cost per unit time: a non-uniformly ergodic case
Jan Palczewski, Lukasz Stettner
This paper studies maximisation of an average-cost-per-unit-time ergodic functional over impulse strategies controlling a Feller-Markov process. The uncontrolled process is assumed…
On the solution uniqueness in portfolio optimization and risk analysis
Bogdan Grechuk, Andrzej Palczewski, Jan Palczewski
We consider the issue of solution uniqueness for portfolio optimization problem and its inverse for asset returns with a finite number of possible scenarios. The risk is assessed b…
Adaptive Monte Carlo Maximum Likelihood
Blazej Miasojedow, Wojciech Niemiro, Jan Palczewski +1
We consider Monte Carlo approximations to the maximum likelihood estimator in models with intractable norming constants. This paper deals with adaptive Monte Carlo algorithms, whic…
Stopping of functionals with discontinuity at the boundary of an open set
Jan Palczewski, Lukasz Stettner
We explore properties of the value function and existence of optimal stopping times for functionals with discontinuities related to the boundary of an open (possibly unbounded) set…
Optimal hedging of a perpetual American put with a single trade
Cheng Cai, Tiziano De Angelis, Jan Palczewski
It is well-known that using delta hedging to hedge financial options is not feasible in practice. Traders often rely on discrete-time hedging strategies based on fixed trading time…