Dynamic stochastic matching problems arise in a variety of recent applications, ranging from ridesharing and online video games to kidney exchange. Such problems are naturally formulated as Markov ...

Option pricing and stochastic control methods constitute a vital intersection of quantitative finance and applied mathematics, offering robust frameworks for evaluating derivative securities and ...

We present a novel method for deriving tight Monte Carlo confidence intervals for solutions of stochastic dynamic programming equations. Taking some approximate solution to the equation as an input, ...