Jan Palczewski

Publication Activity (10 Years)

Years Active: 2007-2023
Publications (10 Years): 15

Top Topics

Optimal Stopping

Investment Strategies

Portfolio Optimization

Mining Algorithm

Top Venues

Eur. J. Oper. Res.

SIAM J. Control. Optim.

J. Chem. Inf. Model.

Publications

Luis Mario Chaparro Jáquez, Elena Issoglio, Jan Palczewski
Convergence rate of numerical scheme for SDEs with a distributional drift in Besov space. CoRR (2023)
Cheng Cai, Tiziano De Angelis, Jan Palczewski
On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions. SIAM J. Control. Optim. 61 (3) (2023)
Lukas Cironis, Jan Palczewski, Georgios Aivaliotis
Automatic model training under restrictive time constraints. Stat. Comput. 33 (1) (2023)
Thomas Sawczuk, Anna Palczewska, Ben Jones, Jan Palczewski
Use of Kernel Density Estimation to Understand the Spatial Trends of Attacking Possessions in Rugby League. UKCI (2022)
Alessandro Balata, Michael Ludkovski, Aditya Maheshwari, Jan Palczewski
Statistical learning for probability-constrained stochastic optimal control. Eur. J. Oper. Res. 290 (2) (2021)
Cheng Cai, Tiziano De Angelis, Jan Palczewski
Optimal Hedging of a Perpetual American Put with a Single Trade. SIAM J. Financial Math. 12 (2) (2021)
Justin Keen, Roy A. Ruddle, Jan Palczewski, Georgios Aivaliotis, Anna Palczewska, Christopher Megone, Kevin Macnish
Machine learning, materiality and governance: A health and social care case study. Inf. Polity 26 (1) (2021)
Lukas Cironis, Jan Palczewski, Georgios Aivaliotis
Automatic model training under restrictive time constraints. CoRR (2021)
Sofya Titarenko, Valeriy Titarenko, Georgios Aivaliotis, Jan Palczewski
Fast implementation of pattern mining algorithms with time stamp uncertainties and temporal constraints. J. Big Data 6 (2019)
Andrzej Palczewski, Jan Palczewski
Black-Litterman model for continuous distributions. Eur. J. Oper. Res. 273 (2) (2019)
John Moriarty, Jan Palczewski
Real option valuation for reserve capacity. Eur. J. Oper. Res. 257 (1) (2017)
Jan Palczewski, Lukasz Stettner
Impulse Control Maximizing Average Cost per Unit Time: A Nonuniformly Ergodic Case. SIAM J. Control. Optim. 55 (2) (2017)
Richard Marchese Robinson, Anna Palczewska, Jan Palczewski, Nathan J. Kidley
Comparison of the Predictive Performance and Interpretability of Random Forest and Linear Models on Benchmark Data Sets. J. Chem. Inf. Model. 57 (8) (2017)
Anna Palczewska, Jan Palczewski, Georgios Aivaliotis, Lukasz Kowalik
RobustSPAM for Inference from Noisy Longitudinal Data and Preservation of Privacy. ICMLA (2017)
Jan Palczewski, Rolf Poulsen, Klaus Reiner Schenk-Hoppé, Huamao Wang
Dynamic portfolio optimization with transaction costs and state-dependent drift. Eur. J. Oper. Res. 243 (3) (2015)
Georgios Aivaliotis, Jan Palczewski
Investment strategies and compensation of a mean-variance optimizing fund manager. Eur. J. Oper. Res. 234 (2) (2014)
Andrzej Palczewski, Jan Palczewski
Theoretical and empirical estimates of mean-variance portfolio sensitivity. Eur. J. Oper. Res. 234 (2) (2014)
Anna Palczewska, Jan Palczewski, Richard Marchese Robinson, Daniel Neagu
Interpreting random forest classification models using a feature contribution method. CoRR (2013)
Anna Palczewska, Jan Palczewski, Richard Marchese Robinson, Daniel Neagu
Interpreting Random Forest Classification Models Using a Feature Contribution Method. IRI (best papers) (2013)
Anna Palczewska, Jan Palczewski, Richard Marchese Robinson, Daniel Neagu
Interpreting random forest models using a feature contribution method. IRI (2013)
Jan Palczewski, Lukasz Stettner
Finite Horizon Optimal Stopping of Time-Discontinuous Functionals with Applications to Impulse Control with Delay. SIAM J. Control. Optim. 48 (8) (2010)
Jan Palczewski, Lukasz Stettner
Maximization of the portfolio growth rate under fixed and proportional transaction costs. Commun. Inf. Syst. 7 (1) (2007)