1 citations · 1 across the 2 of their papers we have counts for
2 papers
math.PR2021
Unbiased Simulation Estimators for Multivariate Jump-Diffusions
Guanting Chen, Alex Shkolnik, Kay Giesecke
We develop and analyze a class of unbiased Monte Carlo estimators for multivariate jump-diffusion processes with state-dependent drift, volatility, jump intensity and jump size. A…
cs.LG2021★ 1 cited
An Adaptive State Aggregation Algorithm for Markov Decision Processes
Guanting Chen, Johann Demetrio Gaebler, Matt Peng +2
Value iteration is a well-known method of solving Markov Decision Processes (MDPs) that is simple to implement and boasts strong theoretical convergence guarantees. However, the co…