Publications

• Research Work In Progress
• Publications
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• Invited Presentations at Professional Conventions

Research Work In Progress

• On the Fundamental Theorem of Asset Pricing in Discrete Time: Random Cone Constraints and and Finite-Valued Pricing Rules (with I. Evstigneev and Schuerger).

Publications

• 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).