64 citations · 258 across the 10 of their papers we have counts for
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math.NA2015★ 1 cited
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…
math.NA2015★ 47 cited
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.…
q-fin.PR2015★ 42 cited
The existence of optimal bang-bang controls for GMxB contracts
Parsiad Azimzadeh, Peter A. Forsyth
A large collection of financial contracts offering guaranteed minimum benefits are often posed as control problems, in which at any point in the solution domain, a control is able…