9 citations · 44 across the 41 of their papers we have counts for
11 papers · 1 filter
A Scaling Limit for Utility Indifference Prices in the Discretized Bachelier Model
Asaf Cohen, Yan Dolinsky
We consider the discretized Bachelier model where hedging is done on an equidistant set of times. Exponential utility indifference prices are studied for path-dependent European op…
Finite state mean field games with Wright Fisher common noise as limits of -player weighted games
Erhan Bayraktar, Alekos Cecchin, Asaf Cohen +1
Forcing finite state mean field games by a relevant form of common noise is a subtle issue, which has been addressed only recently. Among others, one possible way is to subject the…
Asymptotic optimality of the generalized rule under model uncertainty
Asaf Cohen, Subhamay Saha
We consider a critically-loaded multiclass queueing control problem with model uncertainty. The model consists of types of customers and a single server. At any time instant, a…
Finite state Mean Field Games with Wright-Fisher common noise
Erhan Bayraktar, Alekos Cecchin, Asaf Cohen +1
We force uniqueness in finite state mean field games by adding a Wright-Fisher common noise. We achieve this by analyzing the master equation of this game, which is a degenerate pa…
Serve the shortest queue and Walsh Brownian motion
Rami Atar, Asaf Cohen
We study a single-server Markovian queueing model with customer classes in which priority is given to the shortest queue. Under a critical load condition, we establish the diff…
Asymptotic analysis of a multiclass queueing control problem under heavy-traffic with model uncertainty
Asaf Cohen
We study a multiclass M/M/1 queueing control problem with finite buffers under heavy-traffic where the decision maker is uncertain about the rates of arrivals and service of the sy…