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Optimal placement in a limit order book : an analytical approach
Guo, Xin; Larrard, Adrien de; Ruan, Zhao - In: Mathematics and financial economics 11 (2017) 2, pp. 189-213
Persistent link: https://www.econbiz.de/10011900541
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Finite horizon risk-sensitive continuous-time Markov decision processes with unbounded transition and cost rates
Guo, Xin; Liu, Qiuli; Zhang, Yi - In: 4OR : a quarterly journal of operations research 17 (2019) 4, pp. 427-442
Persistent link: https://www.econbiz.de/10012132940
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A useful technique for piecewise deterministic Markov decision processes
Guo, Xin; Zhang, Yi - In: Operations research letters 49 (2021) 1, pp. 55-61
Persistent link: https://www.econbiz.de/10012486021