2 citations · 2 across the 7 of their papers we have counts for
7 papers
First to reach game
Stanislav Volkov, Magnus Wiktorsson
We consider a game with two players, consisting of a number of rounds, where the first player to win rounds becomes the overall winner. Who wins each individual round is govern…
Stability in quadratic variation
Philip Kennerberg, Magnus Wiktorsson
Consider a sequence of cadlag processes , and some fixed function . If is continuous then under several modes of convergence implies corresponding conv…
An optimization model with stochastic variables for flexible production logistics planning
Yongkuk Jeong, Gianpiero Canessa, Erik Flores-García +2
Production logistics has an important role as a chain that connects the components of the production system. The most important goal of production logistics plans is to keep the fl…
Stability in quadratic variation, with applications
Philip Kennerberg, Magnus Wiktorsson
We show that non continuous Dirichlet processes, defined as in \cite{NonCont} are closed under a wide family of locally Lipschitz continuous maps (similar to the time-homogeneous v…
Hedging Errors Induced by Discrete Trading Under an Adaptive Trading Strategy
Mats Brodén, Magnus Wiktorsson
Discrete time hedging in a complete diffusion market is considered. The hedge portfolio is rebalanced when the absolute difference between delta of the hedge portfolio and the deri…
Convergence of an Adaptive Approximation Scheme for the Wiener Process
Mats Brodén, Magnus Wiktorsson
The problem of approximating/tracking the value of a Wiener process is considered. The discretization points are placed at times when the value of the process differs from the appr…
Fast simulated annealing in and an application to maximum likelihood estimation
Sylvain Rubenthaler, Tobias Rydén, Magnus Wiktorsson
Using classical simulated annealing to maximise a function defined on a subset of , the probability $\p(ψ(θ\_n)\leq ψ\_{\max}-ε)$ tends to zero at a logarithmic rate as $…