2 papers
math.ST2025
Non-parametric estimation of non-linear diffusion coefficient in parabolic SPDEs
Martin Andersson, Benny Avelin, Valentin Garino +2
In this article, we introduce a novel non-parametric predictor, based on conditional expectation, for the unknown diffusion coefficient function in the stochastic partial diffe…
math.OC2025
On the Effectiveness of Classical Regression Methods for Optimal Switching Problems
Martin Andersson, Benny Avelin, Marcus Olofsson
Simple regression methods provide robust, near-optimal solutions for optimal switching problems, including high-dimensional ones (up to 50). While the theory requires solving intra…