46 citations · 100 across the 15 of their papers we have counts for
4 papers · 1 filter
An exact bandit model for the risk-volatility tradeoff
Max-Olivier Hongler, Renaud Rivier
We revisit the two-armed bandit (TAB) problem where both arms are driven by diffusive stochastic processes with a common instantaneous reward. We focus on situations where the Rado…
Exact soliton-like probability measures for interacting jump processes
Max-Olivier Hongler
The cooperative dynamics of a 1-D collection of Markov jump, interacting stochastic processes is studied via a mean-field approach. In the time-asymptotic regime, the resulting non…
Increasing Risk: Dynamic Mean-Preserving Spreads
Jean-Louis Arcand, Max-Olivier Hongler, Daniele Rinaldo
We extend the celebrated Rothschild and Stiglitz (1970) definition of Mean-Preserving Spreads to a dynamic framework. We adapt the original integral conditions to transition probab…
The right time to sell a stock whose price is driven by Markovian noise
Robert C. Dalang, M. -O. Hongler
We consider the problem of finding the optimal time to sell a stock, subject to a fixed sales cost and an exponential discounting rate ρ. We assume that the price of the stock fluc…