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Operations Research and Financial Engineering

Publication DateArticle TitleAuthor(s)
1-Jan-2015Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional CasePossamaï, D; Soner, H Mete; Touzi, N
1-Jan-2015On the Influence of the Seed Graph in the Preferential Attachment ModelBubeck, Sebastien; Mossel, Elchanan; Racz, Miklos Z
1-Jan-2015From Smile Asymptotics To Market Risk MeasuresSircar, Ronnie; Sturm, S
Jan-2015Multi-portfolio time consistency for set-valued convex and coherent risk measuresFeinstein, Zachary; Rudloff, Birgit
2015Power Enhancement in High-Dimensional Cross-Sectional TestsFan, Jianqing; Liao, Yuan; Yao, Jiawei
2015Phase transitions in nonlinear filteringRebeschini, Patrick; van Handel, Ramon
2015Local smoothness in variance reduced optimizationVainsencher, Daniel; Liu, Han; Zhang, Tong
2015Non-convex statistical optimization for sparse tensor graphical modelSun, W; Wang, Z; Liu, Han; Cheng, G
2015Multidimensional quadratic and subquadratic BSDEs with special structureCheridito, Patrick; Nam, Kihun
2015Hierarchical label queries with data-dependent partitionsKpotufe, S; Urner, R; Ben-David, S
2015Optimal linear estimation under unknown nonlinear transformYi, X; Wang, Z; Caramanis, C; Liu, H
2015High dimensional EM algorithm: Statistical optimization and asymptotic normalityWang, Z; Gu, Q; Ning, Y; Liu, H
2015DeepDriving: Learning Affordance for Direct Perception in Autonomous DrivingChen, Chenyi; Seff, Ari; Kornhauser, Alain; Xiao, Jianxiong
2015Optimal Learning in Experimental Design Using the Knowledge Gradient Policy with Application to Characterizing Nanoemulsion StabilityChen, Si; Reyes, Kristofer-Roy G; Gupta, Maneesh K; McAlpine, Michael C; Powell, Warren B
2015The flare Package for High Dimensional Linear Regression and Precision Matrix Estimation in RLi, Xingguo; Zhao, Tuo; Yuan, Xiaoming; Liu, Han
2015Robust estimation of transition matrices in high dimensional heavy-tailed vector autoregressive processesQiu, H; Xu, S; Han, F; Liu, H; Caffo, B
2015Robust portfolio optimizationQiu, H; Han, F; Liu, H; Caffo, B
2015Conditional Analysis on ℝ𝑑Cheridito, Patrick; Kupper, Michael; Vogelpoth, Nicolas
Dec-2014Covariate assisted screening and estimationKe, Zheng Tracy; Jin, Jiashun; Fan, Jianqing
Dec-2014Calibrated Precision Matrix Estimation for High-Dimensional Elliptical DistributionsZhao, Tuo; Liu, Han