| Publication | Date of Publication | Type |
|---|
Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy
Quantitative Finance | 2019-01-15 | Paper |
Optimal constrained investment in the Cramer-Lundberg model
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
Minimal cost of a Brownian risk without ruin
Insurance Mathematics & Economics | 2014-04-25 | Paper |
Portfolio size as function of the premium: modelling and optimization
Stochastics | 2014-04-17 | Paper |
A stochastic volatility model and optimal portfolio selection
Quantitative Finance | 2014-01-23 | Paper |
An application of the method of moments to range-based volatility estimation using daily high, low, opening, and closing (HLOC) prices
International Journal of Theoretical and Applied Finance | 2013-10-21 | Paper |
Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model
Annals of Finance | 2012-03-06 | Paper |
Optimal non-proportional reinsurance control
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Band Control of Mutual Proportional Reinsurance
| 2011-12-19 | Paper |
Excess-of-loss reinsurance under taxes and fixed costs
Risk and Decision Analysis | 2011-08-16 | Paper |
Optimal excess-of-loss reinsurance under borrowing constraints
Risk and Decision Analysis | 2011-08-16 | Paper |
On absolute ruin minimization under a diffusion approximation model
Insurance Mathematics & Economics | 2011-08-01 | Paper |
Optimal non-proportional reinsurance control and stochastic differential games
Insurance Mathematics & Economics | 2011-08-01 | Paper |
On maximizing CRRA utility in regime switching markets with random endowment
SIAM Journal on Control and Optimization | 2010-10-20 | Paper |
Growth-optimal investments and numeraire portfolios under transaction costs: An analysis based on the von Neumann-Gale model
| 2009-09-25 | Paper |
Dynamic interaction models of economic equilibrium
Journal of Economic Dynamics and Control | 2009-08-07 | Paper |
On reinsurance and investment for large insurance portfolios
Insurance Mathematics & Economics | 2008-08-22 | Paper |
Optimal Terminal Wealth Under Partial Information: Both the Drift and the Volatility Driven by a Discrete-Time Markov Chain
SIAM Journal on Control and Optimization | 2008-08-01 | Paper |
Markovian demand inventory models
International Series in Operations Research & Management Science | 2008-06-30 | Paper |
Rapid paths in von Neumann–Gale dynamical systems
Stochastics | 2008-05-15 | Paper |
The influence of bankruptcy value on optimal risk control for diffusion models with proportional reinsurance
Insurance Mathematics & Economics | 2007-09-03 | Paper |
CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
Mathematical Finance | 2006-06-12 | Paper |
On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria
Mathematical Finance | 2004-11-16 | Paper |
RAPID GROWTH PATHS IN CONVEX-VALUED RANDOM DYNAMICAL SYSTEMS
Stochastics and Dynamics | 2004-05-18 | Paper |
Optimal dynamic reinsurance policies for large insurance portfolios
Finance and Stochastics | 2004-03-16 | Paper |
Convex stochastic optimization for random fields on graphs: A method of constructing Lagrange multipliers
Mathematical Methods of Operations Research | 2003-07-16 | Paper |
Equilibrium states of random economies with locally interacting agents and solutions to stochastic variational inequalities in \(\langle L_1,L_{\infty}\rangle\)
Annals of Operations Research | 2003-01-27 | Paper |
Dynkin Games via Dirichlet Forms and Singular Control of One-Dimensional Diffusions
SIAM Journal on Control and Optimization | 2003-01-05 | Paper |
A dynamic stochastic stock-cutting problem
Operations Research | 2002-03-18 | Paper |
Optimal risk control for a large corporation in the presence of returns on investments
Finance and Stochastics | 2002-03-13 | Paper |
Optimal Financing of a Corporation Subject To Random Returns
Mathematical Finance | 2002-01-01 | Paper |
Controlling risk exposure and dividends payout schemes: Insurance company example
Mathematical Finance | 2001-11-26 | Paper |
Dynamic optimization of long-term growth rate for a portfolio with transaction costs and logarithmic utility.
Mathematical Finance | 2001-11-26 | Paper |
Dependence of the optimal risk control decisions on the terminal value for a financial corporation
Annals of Operations Research | 2001-06-14 | Paper |
Optimal production and setup scheduling: A one-machine, two-product system
Annals of Operations Research | 2001-06-14 | Paper |
Diffusion approximation and optimal stochastic control
Theory of Probability and its Applications | 2001-05-02 | Paper |
Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
Finance and Stochastics | 2001-03-01 | Paper |
Optimal risk and dividend distribution control models for an insurance company
Mathematical Methods of Operations Research | 2000-11-12 | Paper |
Robust output feedback control for linear stochastic systems in continuous time with time-varying parameters
IEEE Transactions on Automatic Control | 2000-10-17 | Paper |
Stochastic control for optimal new business
Insurance Mathematics & Economics | 2000-01-01 | Paper |
Optimal proportional reinsurance policies for diffusion models
Scandinavian Actuarial Journal | 1999-03-25 | Paper |
Inventory models with Markovian demands and cost functions of polynomial growth
Journal of Optimization Theory and Applications | 1999-02-28 | Paper |
scientific article; zbMATH DE number 1254190 (Why is no real title available?)
| 1999-02-23 | Paper |
Producing in a manufacturing system with minimum average cost
Nonlinear Analysis: Theory, Methods & Applications | 1998-09-07 | Paper |
Optimal proportional reinsurance policies for diffusion models with transaction costs
Insurance Mathematics & Economics | 1998-01-01 | Paper |
The linear programming approach to deterministic optimal control problems
Applicationes Mathematicae | 1997-09-01 | Paper |
Optimal production planning in a stochastic manufacturing system with long-run average cost
Journal of Optimization Theory and Applications | 1997-08-25 | Paper |
Deterministic Approximation for Stochastic Control Problems
SIAM Journal on Control and Optimization | 1997-08-11 | Paper |
Infinite-Dimensional Linear Programming Approach to SingularStochastic Control
SIAM Journal on Control and Optimization | 1997-05-19 | Paper |
Controlled diffusion models for optimal dividend pay-out
Insurance Mathematics & Economics | 1997-01-01 | Paper |
Robust Control of Linear Stochastic Systems with Fully Observable State
Applicationes Mathematicae | 1996-12-03 | Paper |
Diffusion Approximation for a Controlled Stochastic Manufacturing System with Average Cost Minimization
Mathematics of Operations Research | 1996-07-15 | Paper |
Stochastic equilibria on graphs. II
Journal of Mathematical Economics | 1996-03-18 | Paper |
Double Band Policy for Stochastic Manufacturing Systems in Heavy Traffic
Mathematics of Operations Research | 1995-09-27 | Paper |
scientific article; zbMATH DE number 736280 (Why is no real title available?)
| 1995-03-22 | Paper |
Stochastic equilibria on graphs, I
Journal of Mathematical Economics | 1994-11-23 | Paper |
A Heavy-Traffic Limit for the Cycle Counting Process in G/G/1, Optional Interruptions and Elastic Screen Brownian Motion
Mathematics of Operations Research | 1994-08-15 | Paper |
Infinite-horizon investment consumption model with a nonterminal bankruptcy
Journal of Optimization Theory and Applications | 1994-04-27 | Paper |
Optimality in probability and almost surely. the general scheme and a linear regulator problem
Stochastics and Stochastic Reports | 1994-01-19 | Paper |
Convex solutions to variational inequalities and multidimensional singular control
| 1994-01-01 | Paper |
scientific article; zbMATH DE number 440559 (Why is no real title available?)
| 1993-12-05 | Paper |
scientific article; zbMATH DE number 440547 (Why is no real title available?)
| 1993-11-28 | Paper |
Production control in a failure-prone manufactoring system: Diffusion approximation and asymptotic optimality
The Annals of Applied Probability | 1993-10-28 | Paper |
Diffusion approximation for \(GI/G/1\) controlled queues
Queueing Systems | 1993-04-01 | Paper |
Explicit solution of a general consumption/portfolio problem with subsistence consumption and bankruptcy
Journal of Economic Dynamics and Control | 1993-01-16 | Paper |
Skorohod problems with nonsmooth boundary conditions
Journal of Computational and Applied Mathematics | 1993-01-16 | Paper |
Singular ergodic control for multidimensional Gaussian processes
MCSS. Mathematics of Control, Signals, and Systems | 1992-06-28 | Paper |
An Asymptotic Analysis of Hierarchical Control of Manufacturing Systems Under Uncertainty
Mathematics of Operations Research | 1992-06-27 | Paper |
Probabilistic approach to computational algorithms for finding stationary distributions of Markov chains
Journal of Computational and Applied Mathematics | 1992-06-26 | Paper |
A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
Mathematics of Operations Research | 1992-06-25 | Paper |
Deterministic equivalent for a continuous linear-convex stochastic control problem
Journal of Optimization Theory and Applications | 1990-01-01 | Paper |
Optimal correction problem of a multidimensional stochastic system
Automatica | 1989-01-01 | Paper |
scientific article; zbMATH DE number 4091392 (Why is no real title available?)
| 1989-01-01 | Paper |
Stationary regenerative sets and subordinators
The Annals of Probability | 1988-01-01 | Paper |
A note on Merton's ``Optimum consumption and portfolio rules in a continuous-time model
Journal of Economic Theory | 1988-01-01 | Paper |
scientific article; zbMATH DE number 4024459 (Why is no real title available?)
| 1987-01-01 | Paper |
Optimal Price and Income Regulation under Uncertainty in the Model with one Producer
Journal of Information and Optimization Sciences | 1986-01-01 | Paper |
scientific article; zbMATH DE number 3984259 (Why is no real title available?)
| 1986-01-01 | Paper |
Diffusion Approximation in Arrow’s Model of Exhaustable Resources
Journal of Information and Optimization Sciences | 1986-01-01 | Paper |
Regenerative Analysis and Steady State Distributions for Markov Chains
Operations Research | 1985-01-01 | Paper |
Average Optimal Singular Control and a Related Stopping Problem
Mathematics of Operations Research | 1985-01-01 | Paper |
Storage model with discontinuous holding cost
Stochastic Processes and their Applications | 1984-01-01 | Paper |
Instantaneous Control of Brownian Motion
Mathematics of Operations Research | 1983-01-01 | Paper |
Enhancing of semigroups
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1983-01-01 | Paper |
First hitting time of curvilinear boundary by Wiener process
The Annals of Probability | 1982-01-01 | Paper |
Subprocesses of stationary Markov processes
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1981-01-01 | Paper |
scientific article; zbMATH DE number 3678828 (Why is no real title available?)
| 1980-01-01 | Paper |
A Formula for Wanderings of a Regular Markov Process
Theory of Probability & Its Applications | 1976-01-01 | Paper |
On Events Connected with Reaching a Set by Sample Paths of a Stochastic Process
Theory of Probability & Its Applications | 1976-01-01 | Paper |
scientific article; zbMATH DE number 3267816 (Why is no real title available?)
| 1968-01-01 | Paper |
On a Property of a Sequence of Events
Theory of Probability & Its Applications | 1968-01-01 | Paper |
