Items where authors include "Palczewski, J"

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Number of items: 32.

Article

Cai, C, De Angelis, T and Palczewski, J orcid.org/0000-0003-0235-8746 (2022) The American put with finite-time maturity and stochastic interest rate. Mathematical Finance, 32 (4). pp. 1170-1213. ISSN 0960-1627

De Angelis, T, Merkulov, N and Palczewski, J orcid.org/0000-0003-0235-8746 (2022) On the value of non-Markovian Dynkin games with partial and asymmetric information. Annals of Applied Probability, 32 (3). pp. 1774-1813. ISSN 1050-5164

Aivaliotis, G, Palczewski, J, Atkinson, R et al. (2 more authors) (2021) A comparison of time to event analysis methods, using weight status and breast cancer as a case study. Scientific Reports, 11. 14058. ISSN 2045-2322

Cai, C, De Angelis, T and Palczewski, J orcid.org/0000-0003-0235-8746 (2021) Optimal hedging of a perpetual American put with a single trade. SIAM Journal on Financial Mathematics (SIFIN), 12 (2). pp. 823-866. ISSN 1945-497X

Balata, A, Ludkovski, M, Maheshwari, A et al. (1 more author) (2021) Statistical Learning for Probability-Constrained Stochastic Optimal Control. European Journal of Operational Research, 290 (2). pp. 640-656. ISSN 0377-2217

Pimm, AJ, Palczewski, J orcid.org/0000-0003-0235-8746, Barbour, ER et al. (1 more author) (2021) Using electricity storage to reduce greenhouse gas emissions. Applied Energy, 282 (Part A). 116199. ISSN 0306-2619

Keen, J orcid.org/0000-0003-2753-8276, Ruddle, R, Palczewski, J et al. (4 more authors) (2020) Machine learning, materiality and governance: A health and social care case study. Information Polity. ISSN 1570-1255

Palczewski, J orcid.org/0000-0003-0235-8746 (2020) Book Reviews: Estimation and Control of Dynamical Systems. By Alain Bensoussan. Springer, Cham, 2018. $139.99. xii+547 pp., hardcover. ISBN: 978-3-319-75455-0. SIAM Review, 62 (1). pp. 290-293. ISSN 0036-1445

Pimm, AJ, Palczewski, J orcid.org/0000-0003-0235-8746, Morris, R et al. (2 more authors) (2020) Community energy storage: A case study in the UK using a linear programming method. Energy Conversion and Management, 205. ARTN: 112388. ISSN 0196-8904

Titarenko, SS, Titarenko, VN, Aivaliotis, G et al. (1 more author) (2019) Fast implementation of pattern mining algorithms with time stamp uncertainties and temporal constraints. Journal of Big Data, 6. ARTN: 37.

Palczewski, A and Palczewski, J orcid.org/0000-0003-0235-8746 (2019) Black-Litterman model for continuous distributions. European Journal of Operational Research, 273 (2). pp. 708-720. ISSN 0377-2217

Gonzalez, J, Moriarty, J and Palczewski, J orcid.org/0000-0003-0235-8746 (2017) Bayesian calibration and number of jump components in electricity spot price models. Energy Economics, 65. pp. 375-388. ISSN 0140-9883

Moriarty, J and Palczewski, J orcid.org/0000-0003-0235-8746 (2017) Real option valuation for reserve capacity. European Journal of Operational Research, 257 (1). pp. 251-260. ISSN 0377-2217

Palczewski, J, Schenk-Hoppé, KR and Wang, T (2016) Itchy Feet vs Cool Heads: Flow of Funds in an Agent-based Financial Market. Journal of Economic Dynamics and Control, 63. pp. 53-68. ISSN 0165-1889

Ladley, D, Lensberg, T, Palczewski, J et al. (1 more author) (2015) Fragmentation and stability of markets. Journal of Economic Behavior and Organization, 119. 466 - 481. ISSN 0167-2681

Palczewski, J, Poulsen, R, Schenk-Hoppé, KR et al. (1 more author) (2015) Dynamic portfolio optimization with transaction costs and state-dependent drift. European Journal of Operational Research, 243 (3). pp. 921-931. ISSN 0377-2217

Palczewski, J and Stettner, L (2014) Infinite horizon stopping problems with (nearly) total reward criteria. Stochastic Processes and their Applications, 124 (12). 3887 - 3920. ISSN 0304-4149

Palczewski, A and Palczewski, J (2014) Theoretical and empirical estimates of mean-variance portfolio sensitivity. European Journal of Operational Research, 234 (2). 402 - 410. ISSN 0377-2217

Aivaliotis, G and Palczewski, J (2014) Investment strategies and compensation of a mean-variance optimizing fund manager. European Journal of Operational Research, 234 (2). 561 - 570. ISSN 0377-2217

Palczewski, J and Stettner, L (2011) Stopping of functionals with discontinuity at the boundary of an open set. Stochastic Processes and their Applications, 121 (10). 2361 - 2392. ISSN 0304-4149

Palczewski, J and Schenk-Hoppe, KR (2010) From discrete to continuous time evolutionary finance. Journal of Economic Dynamics and Control, 34 (5). 913 - 931. ISSN 0165-1889

Palczewski, J and Schenk-Hoppe, KR (2010) Market selection of constant proportions investment strategies in continuous time. Journal of Mathematical Economics, 46 (2). 248 - 266. ISSN 0304-4068

Palczewski, J and Stettner, L (2010) Finite horizon optimal stopping of time-discontinuous functionals with applications to impulse control with delay. SIAM Journal on Control and Optimization, 48 (8). 4874 - 4909. ISSN 0363-0129

Palczewski, J and Stettner, L (2008) Growth-optimal portfolios under transaction costs. Applicationes Mathematicae (Warsaw), 35. 1 - 31. ISSN 1233-7234

Palczewski, J and Stettner, L (2007) Impulsive control of portfolios. Applied Mathematics and Optimization, 56 (1). 67 - 103. ISSN 0095-4616

Palczewski, J and Stettner, L (2007) Maximization of the portfolio growth rate under fixed and proportional transaction costs. Communications in Information and Systems, 7 (1). 31 - 58. ISSN 1526-7555

Book Section

Miasojedow, B, Niemiro, W, Miasojedow, B et al. (2 more authors) (2015) Adaptive monte carlo maximum likelihood. In: Matwin, S and Mielniczuk, J, (eds.) Challenges in Computational Statistics and Data Mining. Studies in Computational Intelligence, 605 . Springer , pp. 247-270. ISBN 978-3-319-18780-8

Palczewska, AM, Palczewski, J, Marchese Robinson, R et al. (1 more author) (2014) Interpreting random forest classification models using a feature contribution method. In: Bouabana-Tebibel, T and Rubin, SH, (eds.) Integration of Reusable Systems. Springer , 193 - 218 (26). ISBN 3319047167

Proceedings Paper

Keen, J orcid.org/0000-0003-2753-8276, Ruddle, R, Palczewski, J orcid.org/0000-0003-0235-8746 et al. (4 more authors) (2019) Public services, personal data and machine learning: prospects for infrastructures and ecosystems. In: Kaya, T, (ed.) 19th European Conference on Digital Government (ECDG 2019). European Conference on Digital Government, 24-25 Oct 2019, Nicosia, Cyprus. Academic Conferences Ltd . ISBN 9781510899018

Pimm, AJ, Barbour, ER, Cockerill, TT orcid.org/0000-0001-7914-2340 et al. (1 more author) (2019) Evaluating the regional potential for emissions reduction using energy storage. In: 2019 Offshore Energy and Storage Summit, OSES 2019. 2019 Offshore Energy and Storage Summit (OSES), 10-12 Jul 2019, Brest, France. IEEE . ISBN 9781728123172

Palczewska, A, Palczewski, J orcid.org/0000-0003-0235-8746, Aivaliotis, G et al. (1 more author) (2017) RobustSPAM for Inference from Noisy Longitudinal Data and Preservation of Privacy. In: IEEE ICMLA 2017 Conference proceedings. IEEE 16TH International Conference on Machine Learning and Applications - ICMLA 2017, 18-21 Dec 2017, Cancun, Mexico. Institute of Electrical and Electronics Engineers , pp. 344-351. ISBN 978-1-5386-1417-4

Palczewska, A, Palczewski, J, Robinson, RM et al. (1 more author) (2013) Interpreting random forest models using a feature contribution method. In: Information Reuse and Integration (IRI), 2013 IEEE 14th International Conference on. 2013 IEEE 14th International Conference on Information Reuse and Integration, 14-16 Aug 2013, San Francisco, CA, USA. IEEE , 112-119 .

This list was generated on Sun Mar 24 12:08:42 2024 GMT.