184 citations · 540 across the 36 of their papers we have counts for
5 papers · 1 filter
Generalized Probabilistic Bisection for Stochastic Root-Finding
Sergio Rodriguez, Michael Ludkovski
We consider numerical schemes for root finding of noisy responses through generalizing the Probabilistic Bisection Algorithm (PBA) to the more practical context where the sampling…
Mean Field Game Approach to Production and Exploration of Exhaustible Commodities
Michael Ludkovski, Xuwei Yang
In a game theoretic framework, we study energy markets with a continuum of homogenous producers who produce energy from an exhaustible resource such as oil. Each producer simultane…
Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement
Michael Ludkovski, James Risk
We consider calculation of capital requirements when the underlying economic scenarios are determined by simulatable risk factors. In the respective nested simulation framework, th…
Replication or exploration? Sequential design for stochastic simulation experiments
Mickael Binois, Jiangeng Huang, Robert B Gramacy +1
We investigate the merits of replication, and provide methods for optimal design (including replicates), with the goal of obtaining globally accurate emulation of noisy computer si…
Order Flows and Limit Order Book Resiliency on the Meso-Scale
Kyle Bechler, Michael Ludkovski
We investigate the behavior of limit order books on the meso-scale motivated by order execution scheduling algorithms. To do so we carry out empirical analysis of the order flows f…