Titlebook: Stochastic Analysis, Filtering, and Stochastic Optimization; A Commemorative Volu George Yin,Thaleia Zariphopoulou Book 2022 The Editor(s)

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Equilibrium Model of Limit Order Books: A Mean-Field Game View,rol problem by the representative seller. Using a dynamic programming approach, we show that the value function is a viscosity solution of the corresponding Hamilton-Jacobi-Bellman equation, which can be used to determine the equilibrium density function of the LOB, in the spirit of [32].

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BAIT

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协奏曲

Pathwise Approximations for the Solution of the Non-Linear Filtering Problem, discretisation of the solution of the filtering problem of arbitrary order has been established. We expand the work in [5] by showing that robust approximations can be derived from the discretisations therein.

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GUILE

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Narrative

Bounded Regret for Finitely Parameterized Multi-Armed Bandits,es a logarithmic regret, but with a smaller preceding constant compared to the standard UCB algorithm. We also validate the superior performance of the FP-UCB algorithm through extensive numerical simulations.

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