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Christopher W. Miller
Christopher W. Miller
Goldman Sachs
Verified email at gs.com - Homepage
Title
Cited by
Cited by
Year
Optimal Control of Conditional Value-at-Risk in Continuous Time
CW Miller, I Yang
SIAM Journal on Control and Optimization 55 (2), 856-884, 2017
762017
Distribution-Constrained Optimal Stopping
E Bayraktar, CW Miller
Mathematical Finance 2018, 1-39, 2018
272018
Non-linear PDE Approach to Time-Inconsistent Optimal Stopping
CW Miller
SIAM Journal on Control and Optimization 55 (1), 557-573, 2017
232017
Convexity and optimality conditions for continuous time principal-agent problems
LC Evans, CW Miller, I Yang
10*
Optimal Dynamic Contracts for a Large-Scale Principal-Agent Hierarchy: A Concavity-Preserving Approach
CW Miller, I Yang
arXiv preprint arXiv:1506.05497, 2015
82015
A Duality Result for Robust Optimization with Expectation Constraints
CW Miller
arXiv preprint arXiv:1610.01227, 2016
32016
Methods for Optimal Stochastic Control and Optimal Stopping Problems Featuring Time-Inconsistency
CW Miller
UC Berkeley, 2016
12016
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