Peter Lakner

About

The page provides information about the New York University Stern Center for Research Computing (SCRC), which is devoted to providing world-class computational facilities and services to researchers at the Stern School of Business. The center offers a variety of services including a moderately sized Slurm HPC cluster, Cloud Computing (Virtual Machines), data acquisition and storage, research software, and access to WRDS (Wharton Research Data System). The research software suite is designed to facilitate advanced computational research and data analysis, while the datasets are sourced from diverse disciplines through collaborations with data repositories, platforms, and academic institutions. The compute services and storage systems support faculty and researchers' projects with high-speed, robust, and scalable solutions. The page does not contain specific biographical information about Professor Peter Lakner, including his research focus, background, or key contributions.

Research topics

• Computer Science
• Mathematics
• Statistics
• Mathematical optimization
• Artificial Intelligence
• Machine Learning
• Operating system
• Combinatorics
• Engineering
• Computer network

Selected publications

• Optimal Control of a Mean-Reverting Inventory

  Operations Research · 2010-12-01 · 67 citations

  article

  Motivated by empirical observations, we assume that the inventory level of a company follows a mean-reverting process. The objective of the management is to keep this inventory level as close as possible to a given target; there is a running cost associated with the difference between the actual inventory level and the target. If inventory deviates too much from the target, management may perform an intervention in the form of either a purchase or a sale of an amount of the goods. There are fixe…

  PublisherDOI

• PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS

  Mathematical Finance · 2006-03-29 · 66 citations

  article1st authorCorresponding

  We consider the portfolio optimization problem for an investor whose consumption rate process and terminal wealth are subject to downside constraints. In the standard financial market model that consists of d risky assets and one riskless asset, we assume that the riskless asset earns a constant instantaneous rate of interest, r > 0 , and that the risky assets are geometric Brownian motions. The optimal portfolio policy for a wide scale of utility functions is derived explicitly. The gradient…

  PublisherDOI

• High Frequency Asymptotics for the Limit Order Book

  Market Microstructure and Liquidity · 2016-06-01 · 37 citations

  article1st author

  We study the one-sided limit order book corresponding to limit sell orders and model it as a measure-valued process. Limit orders arrive to the book according to a Poisson process and are placed on the book according to a distribution which varies depending on the current best price. Market orders to buy periodically arrive to the book according to a second, independent Poisson process and remove from the book the order corresponding to the current best price. We consider the above described lim…

  PublisherDOI

• Optimal Bankruptcy Time and Consumption/Investment Policies on an Infinite Horizon with a Continuous Debt Repayment Until Bankruptcy

  Mathematics of Operations Research · 2004-08-01 · 34 citations

  article

  In this paper we consider the optimization problem of an agent who wants to maximize the total expected discounted utility from consumption over an infinite horizon. The agent is under obligation to pay a debt at a fixed rate until he/she declares bankruptcy. At that point, after paying a fixed cost, the agent will be able to keep a certain fraction of the present wealth, and the debt will be forgiven. The selection of the bankruptcy time is taken to be at the discretion of the agent. The novelt…

  PublisherDOI

• Optimal Production Management When Demand Depends on the Business Cycle

  Operations Research · 2013-08-01 · 27 citations

  article

  We assume that the cumulative consumer demand for an item follows a Brownian motion, with both the drift and the variance parameters modulated by a continuous-time Markov chain that represents the regime of the economy. The management of the company would like to maintain the inventory level as close as possible to a target inventory level and would also like to produce at a rate that is as close as possible to a target production rate. The company is penalized for deviations from the target lev…

  PublisherDOI

Frequent coauthors

• Josh Reed

  New York University

  11 shared

• Abel Cadenillas

  University of Alberta

  6 shared

• Michael Pinedo

  New York University

  6 shared

• Anand Srinivasan

  5 shared

• Ashay Kadam

  5 shared

• Michael Pinedo

  4 shared

• Bert Zwart

  3 shared

• Florian Simatos

  École Nationale de l’Aviation Civile

  3 shared

Similar researchers at New York University

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• Anindya Ghoseh-60
• Alexander Tuzhilinh-49