A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure

Ningyuan Chen, Steven Kou, Chun Wang. A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure. Management Science, 64(2):784-803, 2018. [doi]

Authors

Ningyuan Chen

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Steven Kou

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Chun Wang

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