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…
Systems of fully nonlinear parabolic obstacle problems with Neumann boundary conditions
Niklas L. P. Lundström, Marcus Olofsson
We prove the existence of a unique viscosity solution to certain systems of fully nonlinear parabolic partial differential equations with interconnected obstacles in the setting of…
How to detect a salami slicer: a stochastic controller-stopper game with unknown competition
Erik Ekström, Kristoffer Lindensjö, Marcus Olofsson
We consider a stochastic game of control and stopping specified in terms of a process , representing the holdings of Player 1, where is a Brownian motion, is…
Management strategies for run-of-river hydropower plants -an optimal switching approach
Niklas L. P. Lundström, Marcus Olofsson, Thomas Önskog
The mathematical theory for optimal switching is by now relatively well developed, but the number of concrete applications of this theoretical framework remains few. In this paper,…
Strong maximum principle and boundary estimates for nonhomogeneous elliptic equations
Niklas L. P. Lundström, Marcus Olofsson, Olli Toivanen
We give a simple proof of the strong maximum principle for viscosity subsolutions of fully nonlinear elliptic PDEs on the form under suitable structure con…
Existence, uniqueness and regularity of solutions to systems of nonlocal obstacle problems related to optimal switching
Niklas L. P. Lundström, Marcus Olofsson, Thomas Önskog
We study viscosity solutions to a system of nonlinear degenerate parabolic partial integro-differential equations with interconnected obstacles. This type of problem occurs in the…
A Brownian optimal switching problem under incomplete information
Marcus Olofsson
In this paper we study an incomplete information optimal switching problem in which the manager only has access to noisy observations of the underlying Brownian motion $\{W_t\}_{t…
Optimal Switching Problems under Partial Information
Kai Li, Kaj Nyström, Marcus Olofsson
In this paper we formulate and study an optimal switching problem under partial information. In our model the agent/manager/investor attempts to maximize the expected reward by swi…
Systems of variational inequalities for non-local operators related to optimal switching problems: Existence and uniqueness
Niklas L. P. LundstrÖm, Kaj NystrÖm, Marcus Olofsson
In this paper we study a system of variational inequalities where the operator is non-local, possibly degenerate and of second order. A special case of this type of problem occurs…