184 citations · 540 across the 36 of their papers we have counts for
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q-fin.CP2013★ 25 cited
Sequential Design for Optimal Stopping Problems
Robert B. Gramacy, Mike Ludkovski
We propose a new approach to solve optimal stopping problems via simulation. Working within the backward dynamic programming/Snell envelope framework, we augment the methodology of…
stat.CO2013★ 13 cited
Sequential Bayesian Inference in Hidden Markov Stochastic Kinetic Models with Application to Detection and Response to Seasonal Epidemics
Junjing Lin, Michael Ludkovski
We study sequential Bayesian inference in stochastic kinetic models with latent factors. Assuming continuous observation of all the reactions, our focus is on joint inference of th…