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]
@article{ChenKW18-0,
title = {A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure},
author = {Ningyuan Chen and Steven Kou and Chun Wang},
year = {2018},
doi = {10.1287/mnsc.2016.2639},
url = {https://doi.org/10.1287/mnsc.2016.2639},
researchr = {https://researchr.org/publication/ChenKW18-0},
cites = {0},
citedby = {0},
journal = {Management Science},
volume = {64},
number = {2},
pages = {784-803},
}