Bandit Problems with Lévy Processes. - Asaf Cohen 003; Eilon Solan (Math. Oper. Res., 2013)

Parameter Estimation: The Proper Way to Use Bayesian Posterior Processes with Brownian Noise. - Asaf Cohen 003 (Math. Oper. Res., 2015)

A Differential Game for a Multiclass Queueing Model in the Moderate-Deviation Heavy-Traffic Regime. - Rami Atar; Asaf Cohen 003 (Math. Oper. Res., 2016)

A Numerical Scheme for a Mean Field Game in Some Queueing Systems Based on Markov Chain Approximation Method. - Erhan Bayraktar; Amarjit Budhiraja; Asaf Cohen 003 (SIAM J. Control. Optim., 2018)

Analysis of a Finite State Many Player Game Using Its Master Equation. - Erhan Bayraktar; Asaf Cohen 003 (SIAM J. Control. Optim., 2018)

Brownian Control Problems for a Multiclass M/M/1 Queueing Problem with Model Uncertainty. - Asaf Cohen 003 (Math. Oper. Res., 2019)

On Singular Control Problems, the Time-Stretching Method, and the Weak-M1 Topology. - Asaf Cohen 003 (SIAM J. Control. Optim., 2021)

Optimal Dividend Problem: Asymptotic Analysis. - Asaf Cohen 003; Virginia R. Young (SIAM J. Financial Math., 2021)

Learning-based Optimal Admission Control in a Single Server Queuing System. - Yili Zhang; Asaf Cohen 003; Vijay G. Subramanian (Allerton, 2022)

Quantum-inspired variational algorithms for partial differential equations: Application to financial derivative pricing. - Tianchen Zhao; Chuhao Sun; Asaf Cohen 003; James Stokes; Shravan K. Veerapaneni (CoRR, 2022)

Optimal Ergodic Harvesting under Ambiguity. - Asaf Cohen 003; Alexandru Hening; Chuhao Sun (SIAM J. Control. Optim., 2022)

Finite State Mean Field Games with Wright-Fisher Common Noise as Limits of N-Player Weighted Games. - Erhan Bayraktar; Alekos Cecchin; Asaf Cohen 003; François Delarue (Math. Oper. Res., 2022)

Quantum-inspired nonlinear Galerkin ansatz for high-dimensional HJB equations. - Chuhao Sun; Asaf Cohen 003; James Stokes; Shravan K. Veerapaneni (CoRR, 2023)

Optimal Dividends Under Model Uncertainty. - Prakash Chakraborty; Asaf Cohen 003; Virginia R. Young (SIAM J. Financial Math., 2023)

A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets. - Erhan Bayraktar; Asaf Cohen 003; April Nellis (SIAM J. Financial Math., 2023)