Michael Ludkovski

ludkovski [at] pstat [dot] ucsb [dot] edu
(805) 893-5634
Department of Statistics & Applied Probability
South Hall, Office 5520
Santa Barbara, CA 93106-3110


Professor Ludkovski's research interests are in financial mathematics and applied probability, especially in the context of optimal stochastic control. His two primary areas of work concern:

Optimal switching problems. These are repeated optimal stopping models that can also be viewed as a simplified impulse control setting. They have wide applications in resource management, decision making under uncertainty and exotic derivatives.

Stochastic control under partial observations. Many operations research and financial applications feature agents that have limited knowledge of the stochastic environment. Thus, the problems they face require simultaneous estimation and control. I develop new computational algorithms to make this possible in a robust but tractable framework.

There are numerous applications of the above models; some that I have worked on in detail include Financial and Insurance Mathematics and Sequential Estimation and Control Models.