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Autor:
Miller, Christopher W. T. (AUTHOR) cwtmiller@gmail.com
Publikováno v:
Psychoanalytic Inquiry. Jul2023, Vol. 43 Issue 5, p315-327. 13p.
Autor:
Miller, Christopher W.
This paper demonstrates a practical method for computing the solution of an expectation-constrained robust maximization problem with immediate applications to model-free no-arbitrage bounds and super-replication values for many financial derivatives.
Externí odkaz:
http://arxiv.org/abs/1610.01227
We solve the problem of optimal stopping of a Brownian motion subject to the constraint that the stopping time's distribution is a given measure consisting of finitely-many atoms. In particular, we show that this problem can be converted to a finite
Externí odkaz:
http://arxiv.org/abs/1604.03042
Autor:
Miller, Christopher W., Yang, Insoon
Publikováno v:
SIAM Journal on Control and Optimization," 55(2), pp.856-884, 2017
We consider continuous-time stochastic optimal control problems featuring Conditional Value-at-Risk (CVaR) in the objective. The major difficulty in these problems arises from time-inconsistency, which prevents us from directly using dynamic programm
Externí odkaz:
http://arxiv.org/abs/1512.05015
Autor:
Miller, Christopher W.
We present a novel method for solving a class of time-inconsistent optimal stopping problems by reducing them to a family of standard stochastic optimal control problems. In particular, we convert an optimal stopping problem with a non-linear functio
Externí odkaz:
http://arxiv.org/abs/1510.05766
Autor:
Miller, Christopher W., Yang, Insoon
We present a continuous-time contract whereby a top-level player can incentivize a hierarchy of players below him to act in his best interest despite only observing the output of his direct subordinate. This paper extends Sannikov's approach from a s
Externí odkaz:
http://arxiv.org/abs/1506.05497
Autor:
Miller, Christopher W.
A laser-driven miniflyer system is built in design similar to those at the Los Alamos National Laboratory and Eglin Air Force Base. It is composed of three parts: laser drive source, impact experiment assembly, and diagnostics. The laser drive source
Externí odkaz:
http://hdl.handle.net/1853/28184
Autor:
Miller, Christopher W. T.1 (AUTHOR) cwtmiller@gmail.com
Publikováno v:
Psychodynamic Practice. Jun2024, p1-20. 20p.