2 papers
math.OC2026
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…
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 diff…