Publications
- On the Fundamental Theorem of Asset Pricing in Discrete Time: Random
Cone Constraints and and Finite-Valued Pricing Rules (with I. Evstigneev and
Schuerger).
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- Interplay Between Dividend Rate and Business
Constraints for a Financial Corporation (with Choulli and Zhou),
submitted to Journal of Economic Dynamics and Control.
- Optimal
Dynamic Portfolio Selection for a Corporation with Controllable
Risk and Dividend Distribution Policy (with B. Hojgaard), submitted to
Mathematical Finance.
- Stochastic Economies with Locally Interacting Agents (with I. Evstigneev), submitted to
Journal of Mathematical Economics.
- A
General Framework for Arbitrage Pricing and
Hedging Theorems in Models of Financial Markets (with Evstigneev),
submitted to Quantitative Finance.
-
Hedging General Claims and Stochastic Control (with C. Hipp), submitted
to Journal of Economic Dynamics and Control.
- Dynkin Games via Dirichlet Forms and
Singular Control of One-Dimensional Diffusions (with Fukushima),
to appear in SIAM Journal on Control and Optimization.
- A
Diffusion Model for Optimal Dividend Distribution for a Company with Constraints
on Risk Control (with Choulli and Zhou), to appear in SIAM Journal
on Control and Optimization.
- Equillibrium
States of Random Economies with Locally Interacting Agents and Solutions to
Stochastic Variational Inequalities (with I. Evstigneev), to appear in
Annals of Operations Research.
- Optimal Dynamic Reinsurance Policies for Large Insurance Portfolios
(with Markussen), to appear in Finance and Stochastics.
- Optimal Financing of a Corporation Subject to Random Returns
(with Sethi), to appear in Mathematical Finance, 12, 2002, 57-74.
- Excess-of-Loss Reinsurance for a Company with Debt Liability and
Constraints on Risk Reduction (with Choulli and Zhou)
Quantitative Finance}, 1, 2001, 573-596.
- Convex
Stochastic Optimization for Random Fields on Graphs: A Method of
Constructing Lagrange Multipliers (with I. Evstigneev),
Mathematical Methods of Operations Research , 54, 2001, 217-238.
- Rapid
Growth Paths in Convex-Valued Random Dynamical Systems (with I.
Evstigneev), Stochastics and Dynamics, 1, 2001, 493-510.
- Optimal
Risk Control for a Large Corporation in the Presence of Returns
on Investments (with B. Hojgaard), Finance and
Stochastics, 5, 2001, 527-547.
- Dynamic
optimization of a Long term growth rate for a mixed portfolio
with transaction costs (with Akian and Sulem), Mathematical
Finance, 11, 2001, 153-188.
- Dependence of the Optimal Risk Control Decisions on the Terminal Value
for a Financial Corporation, Annals of Operations
Research, 89, 2000, 89-99..
-
Optimal Risk Control and Dividend Distribution Policies. Example of
Excess-of-Loss Reinsurance (with Soren Asmussen and Bjarne Hojgaard),
Finance and Stochastics, 4, 2000, 299-324.
-
Stochastic Control for Optimal New Business (with C. Hipp),
Insurance: Mathematics and Economics, 26, 2000, 185-192.
- Optimal Production and Setup Scheduling: a One-Facility, Two-Product
System (with H. Yan and J. Yang), Annals of Operations
research, 89, 2000, 291-312.
- Optimal
Risk and Dividend Distribution Control Models for an Insurance
Company, Mathematical Methods of
Operations Research, 1, 2000, 1-42.
- Controlling Risk Exposure and Dividend Pay-Out Schemes: Insurance
Company Example (with Bjarne Hojgaard), Mathematical Finance, 2,
1999, 153-182.
- Asymptotic Optimality for Stochastic Control Problems via Diffusion
Approximation (with R. Liptser and W. Runggaldier),
Probability Theory and Its Applications, 4, 1999, 705-737.
- Optimal Proportional Reinsurance Policies for Diffusion Models (with
Bjarne Hojgaard), Scandinavian Actuarial Journal, 2, 1998,
166-168.
- A Verification Theorem in General Equilibrium Model of Asset Prices
(with C.F. Huang and S. Zhu), Stochastic Analysis, Control, Optimization
and Applications in Systems & Control: Foundations & Applications
series, W.M. McEneaney, G. Yin, and Q. Zhang (Eds.), Birkh user, Boston,
1998, 585-604.
- Inventory Models with Markovian Demands and Cost Functions of Polynomial
Growth (with D. Beyer and S. Sethi), Journal of Optimization Theory and
Applications, 98, 2, 1998, 281-323.
- A Dynamic Stochastic Stock Cutting Problem, (with E. Krichagina, E.
Rubio, L.Wein), Operations Research, 46, 5, 1998, 690-701.
- Optimal Production Planning in a Multi-Product Stochastic Manufacturing
System with Long-Run Average Cost (with W. Suo, S. Sethi and H. Yan),
Journal of Discrete Event Dynamic Systems, 8. 1. 1998, 37-54.
- Incorporating the Value of Bankruptcy into the Optimal Risk/Dividend
Control of a Financial Corporation, Proceedings of the 4th International
Conference on Optimization: Techniques and Applications, Perth,
Australia, 1998, 1247-1254.
- Optimal Risk and Dividend Control for a Company with a Debt Liability
(with X. Zhou), Insurance: Mathematics and Economics, 22, 1998,
105-122.
- Optimal Proportional Reinsurance Policies for Diffusion Models with
Transaction Costs (with Bjarne Hojgaard), Insurance: Mathematics and
Economics, 22, 1998, 41-51.
- Robust Output Feedback Control for Linear Stochastic Systems in
Continuous Time with Time-Varying Parameters (with A. Poznyak and A.
Iparraguirre), IEEE Transactions on Automatic Control, 43, 8, 1998,
1133-1136.
- Reinsurance and Dividend Policies for Companies with Debts (with X.
Zhou), Proceedings of 36 IEEE International Conference on Decision and
Control, San Diego, California, Dec. 1997, 2791-2794.
- Controlled Diffusion Models for Optimal Dividend Pay--Out (with S.
Asmussen), Insurance: Mathematics and Economics, 20, 1997, 1-15.
- Infinite Dimensional Linear Programming Approach to Singular Stochastic
Control, SIAM Journal on Control and Optimization, 35, 1997,
604-625.
- Optimal Production Planning in a Stochastic Manufacturing System with
Long-Run Average Cost (with S. Sethi, W. Suo and Q. Zhang), JOTA, 92,
1, 1997, 161-188.
- Producing in a Manufacturing System with Minimum Average Cost (with S.
Sethi, W. Suo, and Q. Zhang), Nonlinear Analysis Theory, Methods and
Applications, 30, 7, 1997, 4357-4363.
- Deterministic Approximation for Stochastic Control Problems, (with R.
Liptser and W. Runggaldier), SIAM Journal on
Control and Optimization, 34, 1996, 161-178.
- The Linear Programming Approach to Deterministic Control Problems (with
D. Hernandez-Hernandez and O. Hernandez-Lerma),
Applicationes Mathematicae, 24, 1996, 17-33.
- Minimum Average-Cost Production Plan in a Multi-Product Stochastic
Manufacturing System (with S. Sethi, W. Suo, and H. Yan ), Proceedings
of the 1996 IEEE Conference on Emerging Technologies and Factory
Automation, Kauai, Nov. 18-21, 1996, 361-365.
- Robust Control of Linear Stochastic Systems with Fully Observable State,
(with A. Poznyak), Applicationes Mathematicae, 24, 1996, 35-46.
- Hierarchical Capacity Expansion and Production Planning in Stochastic
Manufacturing Systems, (with S. Sethi and Q. Zhang), Journal of
Operations Management, 12, 1995, 331-352.
- Diffusion Approximation for a Controlled Stochastic Manufacturing System
with Average Cost Minimization (with E. Krichagina, S. Lou and S. Sethi),
Math. Oper. Res., 20, 1995, 895-922.
- Stochastic Equilibria on Graphs II, (with E. Evstigneev), Journal of
Mathematical Economics, 24, 1995, 383-406.
- Stochastic Equilibria on Graphs I, (with E. Evstigneev), Journal of
Mathematical Economics, 23, 1994, 401-433.
- Convex Solutions to Variational Inequalities and Multidimensional
Singular Control, The Dynkin Festschrift. Markov processes and their
applications, M. Freidlin, ed., Birkhauser, Boston-Baden-Berlin, 1994,
371-386.
- Hierarchical Decomposition of Production and Capacity Investment
Decisions in Stochastic Manufacturing Systems, (with S. Sethi and Q. Zhang),
International Transactions in Operations Research 1, 4, 1994,
435-451.
- A Regenerative Generalized Elastic Screen Process as a Heavy Traffic
Limit for Queues with Optional Interruptions,
(with O. Kella), Math. Oper. Res., 19, 1, 1994, 132-151.
- Decomposition of Capacity Expansion and Production Scheduling Decision
over Time and Under Uncertainty (with S. Sethi and Q. Zhang),
Proceedings of the 1994 Meeting of the Slovenian Informatika Society,
Portoroz, Sept. 13-15, 1994, 43-53.
- Double Band Policy for Stochastic Manufacturing Systems in Heavy Traffic
(with E. Krichagina and S. Lou), Math. Oper. Res., 19, 3, 1994,
560-596.
- Optimality in Probability and Almost Surely for an Infinite Horizon
Linear Regulator Problem (with E.Presman and V.Rotar), Stochastics and
Stochastics Reports, 43, 3, 1993, 127-137.
- Production Control in a Failure-Prone Manufacturing System: Diffusion
Approximation and Asymptotic Optimality, (with E. Krichagina, S. Lou, S.
Sethi), Ann. Appl. Prob., 3, 2, 1993, 421-453.
- Infinite Horizon Investment/Consumption Model with a Nonterminal
Bankruptcy, (with S. Sethi), Journal of Optimization Theory and
Applications, 74, 2, 333-346, 1992.
- Explicit Solution of a General Consumption/Portfolio Problem with
Subsistence Consumption and Bankruptcy (with E. Presman and S. Sethi),
Journal of Economic Dynamics and Control, 16, 747-768, 1992.
- Singular Ergodic Control of Multidimensional Gaussian Process (with J.
Menaldi and M. Robin), Mathematics of Control Signals and Systems, 5,
1, 93-114, 1992.
- Hierarchical Investment and Production Decisions in Stochastic
Manufacturing Systems (with S.Sethi and Q. Zhang),in
Stochastic Theory and Adaptive Control, Lecture Notes in Control and
Information Sciences 184, 1992, Springer, 26-436.
- Diffusion Approximation for $GI/G/1$ Controlled Queues, (with E.
Krichagina), QUESTA, 12, 1992, 333-368.
- Asymptotically Optimal Policies for Controlled Queues in Heavy Traffic
(with E. Krichagina), in Stochastic Theory and Adaptive Control,
Lecture Notes on Control and Information Sciences 184, 1992, Springer,
256-270.
- Diffusion Approximation for Controlled Stochastic Manufacturing System
with Setup Costs (with E. Krichagina and S.Lou),
Proceedings of 31 IEEE International Conference on Decision and
Control, Tucson, Arizona, Dec. 1992, 1649-1654.
- Capacity and Production Decisions in Stochastic Manufacturing Systems:
An Asymptotic Optimal Hierarchical Approach
(with S. Sethi and Q. Zhang), Production and Operations Management,
1, 4, 1992, 367-393.
- Kantorovich Functionals in the Space of Probability Measures and Their
Applications in Probability Theory, (with S. T. Rachev), Applied
Stochastic Analysis, I. Karatzas and D. Ocone, eds., Lecture Notes in
Control and Information Sciences 177, Springer, 1992, 248-261.
- Skorohod Problem with Nonsmooth Boundary Conditions, Journal of
Computational and Applied Mathematics, 40, 33-251, 1992.
- An Asymptotic Analysis of Hierarchical Control of Manufacturing Systems,
(with J. Lehoczky, S. Sethi and M. Soner), Mathematics of Operations
Research, 16, 596-608, 1991.
- Probabilistic Approach to Computational Algorithms for Finding
Stationary Distributions of Markov Chains, (with W. Grassmann), Journal
of Computational and Applied Mathematics, 36, 1991, 131-136.
- Deterministic Equivalents for a Continuous Linear-Convex Stochastic
Control Problem, (with S. Sethi), Journal of Optimization Theory and
Applications, 64, 1990, Vol. 1, 169-181.
- Optimal Correction Problem of a Multidimensional Stochastic System,
(with J. L. Menaldi), Automatica, 25, No. 2, 1989, 223-232.
- Deterministic and Stochastic Control Problems with Identical Optimal
Cost Functions, (with S. Sethi), Analysis and Optimization of
Systems, 641-645, Lecture Notes in Control and Information Sciences III,
Springer, 1988.
- A Diffusion Model for Optimal Portfolio Selection in the Presence of
Brokerage Fees, (with D. Assaf and M. J. Klass), Mathematics of
Operations Research, 13, 2, 1988, 277-284.
- Regenerative Sets and Subordinators, (with P. Fitzsimmons), Annals of
Probability, 16, 3, 1988, 1299-1306.
- A Note on Merton's Model of Optimum Consumption and Portfolio Rules in a
Continuous-time Model, (with S. Sethi), Journal of Economic Theory,
46, 2, 1988, 395-40l.
- Singular control in a Multidimensional Space with Control Costs
Proportional to Displacement, Proceedings of the International Conference
on Optimization, Singapore, April, 1987, 314-324.
- Singular Control of Multidimensional Brownian Motion, (with J. L.
Menaldi), Proceedings of the 10th IFAC Congress, Munich, Germany,
July, 1987, Vol. 9, 222-225.
- Stationary Markov Sets, Seminaire de Probabilities XXI,
Universite de Strasbourg, Lecture Notes in Math 1247, 1987, 303-340.
- Optimal Consumption and Investment Policies with Bankruptcy Modeled by a
Diffusion with Delayed Reflection, (with S. Sethi), Proceedings of 25th
IEEE International Conference on Decision and Control, Athens, December,
1986, Vol. 1, 267-269.
- Optimal Price and Income Regulation Under Uncertainty in the Model with
One Producer, Journal of Information and Optimization Sciences, 7,
No. 2, 1986, 235-244.
- Diffusion Approximation in Arrow's Model of Exhaustible Resources, (with
D. Duffie), Journal of Information and Optimization Sciences, 7, No.
3, 1986, 247-260.
- Free Boundary Control and a Related Optimal Stopping Problem,
Proceedings of 25th IEEE International Conference on Decision and
Control, Athens, December, 1986, Vol 1, 132-133.
- Infinite Excessive and Invariant Measures, Seminar on Stochastic
Processes 1985, Cinlar, Chung et al. Editors, Birkhauser, Boston, 1986,
243-289.
- Average Optimal Singular Control and a Related Stopping Problem,
Mathematics of Operations Research, 10, 1985, 63-81.
- Regenerative Analysis and Steady State Distributions for Markov chains,
(with W. Grassmann and D. P. Heyman), Operations Research, 10, No. 5
1985, 1107-1116.
- Storage Model with Discontinuous Holding Cost, Stochastic Processes
and Their Applications, 18, 1984, 291-300.
- Instantaneous Control of Brownian Motion, (with J. M. Harrison),
Mathematics of Operations Research, 8, No. 3, 1983, 439-453.
- Enhancing of Semigroups, Z. Fur W-theorie und Ver. Gebiete, 63,
1983, 445-462.
- First Hitting Time of Curvilinear Boundary by Wiener Process, Annals
of Probability 10, No. 4, 1982, 1029-1031.
- Subprocesses of Stationary Markov Processes, Z. fur W-theorie und
Ver. Gebiete, 55, 1981, 275-296.
- Regenerative Sets on Real Line, Seminaire de Probabilites XIV,
Universite de Strasbourg, Lecture Notes in Math. 784, 1980, 437-474.
- A formula for Wanderings of a Regular Markov Process, Probability
Theory and its Applications, 4, 1976, 839-845 (English translation in
Theory of Probability and its Applications, 4, Vol. XXI 1976,
818-824).
- On Events Connected with Reaching a Set by Sample Paths of a Stochastic
Process Probability Theory and its Applications, 1, 1976, 143-146
(English translation in Theory of Probability and its Applications,
1, Vol. XXI, 1976, 144-148).
- Optimal Planning Over Infinite Time Interval Under Random Factors, in
Mathematical Models in Economics, Polish Scientific Publishers,
Warsaw, 1974, 289-298.
- On a Property of a Sequence of Events, Probability Theory and its
Applications 4, 1968, 531-534 (English translation in Theory of
Probability and its Applications 4, Vol. XIII, 1968, 501-503).
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