64 citations · 258 across the 10 of their papers we have counts for
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Impulse Control in Finance: Numerical Methods and Viscosity Solutions
Parsiad Azimzadeh
The goal of this thesis is to provide efficient and provably convergent numerical methods for solving partial differential equations (PDEs) coming from impulse control problems mot…
Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities
Parsiad Azimzadeh, Erhan Bayraktar, George Labahn
In [Azimzadeh, P., and P. A. Forsyth. "Weakly chained matrices, policy iteration, and impulse control." SIAM J. Num. Anal. 54.3 (2016): 1341-1364], we outlined the theory and imple…
A fast and stable test to check if a weakly diagonally dominant matrix is a nonsingular M-matrix
Parsiad Azimzadeh
We present a test for determining if a substochastic matrix is convergent. By establishing a duality between weakly chained diagonally dominant (w.c.d.d.) L-matrices and convergent…
Fast Engset computation
Parsiad Azimzadeh, Tommy Carpenter
The blocking probability of a finite-source bufferless queue is a fixed point of the Engset formula, for which we prove existence and uniqueness. Numerically, the literature sugges…
Weakly chained matrices, policy iteration, and impulse control
Parsiad Azimzadeh, Peter A. Forsyth
This work is motivated by numerical solutions to Hamilton-Jacobi-Bellman quasi-variational inequalities (HJBQVIs) associated with combined stochastic and impulse control problems.…