Michael Ludkovski

Affiliations: 
Statistics University of California, Santa Barbara, Santa Barbara, CA, United States 
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"Michael Ludkovski"

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René A. Carmona grad student 2005 Princeton
 (Optimal switching with applications to energy tolling agreements.)
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Publications

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Rodriguez S, Ludkovski M. (2016) Information directed sampling for Stochastic Root Finding Proceedings - Winter Simulation Conference. 2016: 3142-3143
Duncan I, Loginov M, Ludkovski M. (2016) Testing Alternative Regression Frameworks for Predictive Modeling of Health Care Costs North American Actuarial Journal. 1-23
Risk J, Ludkovski M. (2016) Statistical emulators for pricing and hedging longevity risk products Insurance: Mathematics and Economics. 68: 45-60
Ludkovski M, Yang X. (2015) Dynamic cournot models for production of exhaustible commodities under stochastic demand Fields Institute Communications. 74: 371-396
Ludkovski M, Sircar R. (2015) Game theoretic models for energy production Fields Institute Communications. 74: 317-333
Bayraktar E, Ludkovski M. (2014) Liquidation in limit order books with controlled intensity Mathematical Finance. 24: 627-650
Lin J, Ludkovski M. (2014) Sequential Bayesian inference in hidden Markov stochastic kinetic models with application to detection and response to seasonal epidemics Statistics and Computing. 24: 1047-1062
Ludkovski M, Shen Q. (2013) European option pricing with liquidity shocks] International Journal of Theoretical and Applied Finance. 16
Grasselli MR, Leclère V, Ludkovski M. (2013) Priority option: The value of being a leader International Journal of Theoretical and Applied Finance. 16
Ludkovski M. (2012) Bayesian quickest detection with observation-changepoint feedback Proceedings of the Ieee Conference On Decision and Control. 166-171
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