Asaf Cohen

Publication Activity (10 Years)

Years Active: 2013-2023
Publications (10 Years): 13

Top Topics

Control Problems

Exploration Exploitation

Queueing Systems

Top Venues

Math. Oper. Res.

SIAM J. Control. Optim.

SIAM J. Financial Math.

Publications

Prakash Chakraborty, Asaf Cohen, Virginia R. Young
Optimal Dividends Under Model Uncertainty. SIAM J. Financial Math. 14 (2) (2023)
Erhan Bayraktar, Asaf Cohen, April Nellis
A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets. SIAM J. Financial Math. 14 (4) (2023)
Chuhao Sun, Asaf Cohen, James Stokes, Shravan K. Veerapaneni
Quantum-inspired nonlinear Galerkin ansatz for high-dimensional HJB equations. CoRR (2023)
Erhan Bayraktar, Alekos Cecchin, Asaf Cohen, François Delarue
-Player Weighted Games. Math. Oper. Res. 47 (4) (2022)
Tianchen Zhao, Chuhao Sun, Asaf Cohen, James Stokes, Shravan K. Veerapaneni
Quantum-inspired variational algorithms for partial differential equations: Application to financial derivative pricing. CoRR (2022)
Asaf Cohen, Alexandru Hening, Chuhao Sun
Optimal Ergodic Harvesting under Ambiguity. SIAM J. Control. Optim. 60 (2) (2022)
Asaf Cohen, Virginia R. Young
Optimal Dividend Problem: Asymptotic Analysis. SIAM J. Financial Math. 12 (1) (2021)
Asaf Cohen
On Singular Control Problems, the Time-Stretching Method, and the Weak-M1 Topology. SIAM J. Control. Optim. 59 (1) (2021)
Asaf Cohen
Brownian Control Problems for a Multiclass M/M/1 Queueing Problem with Model Uncertainty. Math. Oper. Res. 44 (2) (2019)
Erhan Bayraktar, Amarjit Budhiraja, Asaf Cohen
A Numerical Scheme for a Mean Field Game in Some Queueing Systems Based on Markov Chain Approximation Method. SIAM J. Control. Optim. 56 (6) (2018)
Erhan Bayraktar, Asaf Cohen
Analysis of a Finite State Many Player Game Using Its Master Equation. SIAM J. Control. Optim. 56 (5) (2018)
Rami Atar, Asaf Cohen
A Differential Game for a Multiclass Queueing Model in the Moderate-Deviation Heavy-Traffic Regime. Math. Oper. Res. 41 (4) (2016)
Asaf Cohen
Parameter Estimation: The Proper Way to Use Bayesian Posterior Processes with Brownian Noise. Math. Oper. Res. 40 (2) (2015)
Asaf Cohen, Eilon Solan
Bandit Problems with Lévy Processes. Math. Oper. Res. 38 (1) (2013)