4 citations · 7 across the 11 of their papers we have counts for
14 papers
Estimates for viscosity solutions of fully nonlinear equations near smooth boundaries
Niklas L. P. Lundström, Marcus Olofsson, Jesper Singh
We reduce the problem of proving decay estimates for viscosity solutions of fully nonlinear PDEs to proving analogous estimates for solutions of one-dimensional ordinary differenti…
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…
Management strategies for hydropower plants a simple dynamic programming approach
Marcus Olofsson, André Berg Niklas L. P. Lundström
We use a dynamic programming approach to construct management strategies for a hydropower plant with a dam and a continuously adjustable unit. Along the way, we estimate unknown va…
Enhancing Precision with the Local Pivotal Method: A General Variance Reduction Approach
Marcus Olofsson, Anton Grafström, Niklas L. P. Lundström
The local pivotal method (LPM) is a successful sampling method for taking well-spread samples from discrete populations. We show how the LPM can be utilized to sample from arbitrar…
The maximality principle in singular control with absorption and its applications to the dividend problem
Tiziano De Angelis, Erik Ekström, Marcus Olofsson
Motivated by a new formulation of the classical dividend problem, we show that Peskir's maximality principle can be transferred to singular stochastic control problems with 2-dimen…
The de Finetti problem with unknown competition
Erik Ekström, Alessandro Milazzo, Marcus Olofsson
We consider a resource extraction problem which extends the classical de Finetti problem for a Wiener process to include the case when a competitor, who is equipped with the possib…