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Optimal Acceptance of Incompatible Kidneys
Incompatibility between patient and donor is a major barrier in kidney transplantation (KT).
Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model
We consider option pricing using a discrete-time Markov switching stochastic volatility with co-jump model, which can model volatility clustering and varying mean-reversion speeds of volatility.
Ranking and Selection as Stochastic Control
Under a Bayesian framework, we formulate the fully sequential sampling and selection decision in statistical ranking and selection as a stochastic control problem, and derive the associated Bellman equation.
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