Selected Publications

This list includes publications from my days in academia.

Anything older than 2015 is excluded. For a more complete list, I refer you to my Google Scholar page. You may also find my MathSciNet page useful. Most of the documents below have open access links to preprints that can alternatively be found by searching for me on the arXiv.

Peer-reviewed articles

• P. Azimzadeh, “A zero-sum stochastic differential game with impulses, precommitment, and unrestricted cost functions”, In Appl. Math. Optim., vol. 79, no. 2, pp. 483–514, 2019. [arXiv] [pdf] [doi]
• P. Azimzadeh, E. Bayraktar, “High order Bellman equations and weakly chained diagonally dominant tensors”, In SIAM J. Matrix Anal. Appl., vol. 40, no. 1, pp. 276-298, 2019. [arXiv] [pdf] [doi]
• P. Azimzadeh, “A fast and stable test to check if a weakly diagonally dominant matrix is a nonsingular M-matrix”, In Math. Comp., vol. 88, no. 316, pp. 783–800, 2019. [arXiv] [pdf] [doi]
• M. Amy, P. Azimzadeh, M. Mosca, “On the CNOT-complexity of CNOT-phase circuits”, In Quantum Science and Technology, 2018. [arXiv] [pdf] [doi]
• P. Azimzadeh, E. Bayraktar, G. Labahn, “Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities”, In SIAM J. Control and Optim., vol. 56, no. 6, pp. 3994–4016, 2018. [arXiv] [pdf] [doi]
• P. Azimzadeh, P. A. Forsyth, “Weakly chained matrices, policy iteration, and impulse control”, In SIAM J. Numer. Anal., vol. 54, no. 3, pp. 1341–1364, 2016. [arXiv] [pdf] [doi]
• P. Azimzadeh, T. Carpenter, “Fast Engset computation”, In Oper. Res. Lett., vol. 44, no. 3, pp. 313–318, 2016. [arXiv] [pdf] [pypi] [github] [doi]
• P. Azimzadeh, P. A. Forsyth, “The existence of optimal bang-bang controls for GMxB contracts”, In SIAM J. Financial Math., vol. 6, no. 1, pp. 117-139, 2015. [arXiv] [pdf] [doi]

PhD Thesis

• P. Azimzadeh, “Impulse control in finance: numerical methods and viscosity solutions”, PhD thesis, University of Waterloo, 2017. [arXiv] [pdf]