Michael I. Taksar

From MaRDI portal
Person:181173

Available identifiers

zbMath Open taksar.michael-iMaRDI QIDQ181173

List of research outcomes

PublicationDate of PublicationType
Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy2019-01-15Paper
Optimal constrained investment in the Cramer-Lundberg model2018-07-11Paper
Minimal cost of a Brownian risk without ruin2014-04-25Paper
Portfolio size as function of the premium: modelling and optimization2014-04-17Paper
A stochastic volatility model and optimal portfolio selection2014-01-23Paper
AN APPLICATION OF THE METHOD OF MOMENTS TO RANGE-BASED VOLATILITY ESTIMATION USING DAILY HIGH, LOW, OPENING, AND CLOSING (HLOC) PRICES2013-10-21Paper
Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model2012-03-06Paper
Optimal non-proportional reinsurance control2012-02-10Paper
Band Control of Mutual Proportional Reinsurance2011-12-19Paper
Excess-of-loss reinsurance under taxes and fixed costs2011-08-16Paper
Optimal excess-of-loss reinsurance under borrowing constraints2011-08-16Paper
Optimal non-proportional reinsurance control and stochastic differential games2011-08-01Paper
On absolute ruin minimization under a diffusion approximation model2011-08-01Paper
On Maximizing CRRA Utility in Regime Switching Markets with Random Endowment2010-10-20Paper
Growth-optimal investments and numeraire portfolios under transaction costs: An analysis based on the von Neumann-Gale model2009-09-25Paper
Dynamic interaction models of economic equilibrium2009-08-07Paper
On reinsurance and investment for large insurance portfolios2008-08-22Paper
Optimal Terminal Wealth Under Partial Information: Both the Drift and the Volatility Driven by a Discrete-Time Markov Chain2008-08-01Paper
Markovian demand inventory models2008-06-30Paper
Rapid paths in von Neumann–Gale dynamical systems2008-05-15Paper
The influence of bankruptcy value on optimal risk control for diffusion models with proportional reinsurance2007-09-03Paper
CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM2006-06-12Paper
On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria2004-11-16Paper
RAPID GROWTH PATHS IN CONVEX-VALUED RANDOM DYNAMICAL SYSTEMS2004-05-18Paper
Optimal dynamic reinsurance policies for large insurance portfolios2004-03-16Paper
Convex stochastic optimization for random fields on graphs: A method of constructing Lagrange multipliers2003-07-16Paper
Equilibrium states of random economies with locally interacting agents and solutions to stochastic variational inequalities in \(\langle L_1,L_{\infty}\rangle\)2003-01-27Paper
Dynkin Games via Dirichlet Forms and Singular Control of One-Dimensional Diffusions2003-01-05Paper
A Dynamic Stochastic Stock-Cutting Problem2002-03-18Paper
Optimal risk control for a large corporation in the presence of returns on investments2002-03-13Paper
Optimal Financing of a Corporation Subject To Random Returns2002-01-01Paper
Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example2001-11-26Paper
Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility2001-11-26Paper
Dependence of the optimal risk control decisions on the terminal value for a financial corporation2001-06-14Paper
Optimal production and setup scheduling: A one-machine, two-product system2001-06-14Paper
Diffusion Approximation and Optimal Stochastic Control2001-05-02Paper
Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation2001-03-01Paper
Optimal risk and dividend distribution control models for an insurance company2000-11-12Paper
Robust output feedback control for linear stochastic systems in continuous time with time-varying parameters2000-10-17Paper
Stochastic control for optimal new business2000-01-01Paper
Optimal proportional reinsurance policies for diffusion models1999-03-25Paper
Inventory models with Markovian demands and cost functions of polynomial growth1999-02-28Paper
https://portal.mardi4nfdi.de/entity/Q42272281999-02-23Paper
Producing in a manufacturing system with minimum average cost1998-09-07Paper
Optimal proportional reinsurance policies for diffusion models with transaction costs1998-01-01Paper
The linear programming approach to deterministic optimal control problems1997-09-01Paper
Optimal production planning in a stochastic manufacturing system with long-run average cost1997-08-25Paper
Deterministic Approximation for Stochastic Control Problems1997-08-11Paper
Infinite-Dimensional Linear Programming Approach to SingularStochastic Control1997-05-19Paper
Controlled diffusion models for optimal dividend pay-out1997-01-01Paper
Robust Control of Linear Stochastic Systems with Fully Observable State1996-12-03Paper
Diffusion Approximation for a Controlled Stochastic Manufacturing System with Average Cost Minimization1996-07-15Paper
Stochastic equilibria on graphs. II1996-03-18Paper
Double Band Policy for Stochastic Manufacturing Systems in Heavy Traffic1995-09-27Paper
https://portal.mardi4nfdi.de/entity/Q43266241995-03-22Paper
Stochastic equilibria on graphs, I1994-11-23Paper
A Heavy-Traffic Limit for the Cycle Counting Process in G/G/1, Optional Interruptions and Elastic Screen Brownian Motion1994-08-15Paper
Infinite-horizon investment consumption model with a nonterminal bankruptcy1994-04-27Paper
Optimality in probability and almost surely. the general scheme and a linear regulator problem1994-01-19Paper
https://portal.mardi4nfdi.de/entity/Q33641991994-01-01Paper
https://portal.mardi4nfdi.de/entity/Q31407121993-12-05Paper
https://portal.mardi4nfdi.de/entity/Q31406991993-11-28Paper
Production control in a failure-prone manufactoring system: Diffusion approximation and asymptotic optimality1993-10-28Paper
Diffusion approximation for \(GI/G/1\) controlled queues1993-04-01Paper
Skorohod problems with nonsmooth boundary conditions1993-01-16Paper
Explicit solution of a general consumption/portfolio problem with subsistence consumption and bankruptcy1993-01-16Paper
Singular ergodic control for multidimensional Gaussian processes1992-06-28Paper
An Asymptotic Analysis of Hierarchical Control of Manufacturing Systems Under Uncertainty1992-06-27Paper
Probabilistic approach to computational algorithms for finding stationary distributions of Markov chains1992-06-26Paper
A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees1992-06-25Paper
Deterministic equivalent for a continuous linear-convex stochastic control problem1990-01-01Paper
Optimal correction problem of a multidimensional stochastic system1989-01-01Paper
https://portal.mardi4nfdi.de/entity/Q38189741989-01-01Paper
Stationary regenerative sets and subordinators1988-01-01Paper
A note on Merton's ``Optimum consumption and portfolio rules in a continuous-time model1988-01-01Paper
https://portal.mardi4nfdi.de/entity/Q37666111987-01-01Paper
https://portal.mardi4nfdi.de/entity/Q37474431986-01-01Paper
Optimal Price and Income Regulation under Uncertainty in the Model with one Producer1986-01-01Paper
Diffusion Approximation in Arrow’s Model of Exhaustable Resources1986-01-01Paper
Average Optimal Singular Control and a Related Stopping Problem1985-01-01Paper
Regenerative Analysis and Steady State Distributions for Markov Chains1985-01-01Paper
Storage model with discontinuous holding cost1984-01-01Paper
Instantaneous Control of Brownian Motion1983-01-01Paper
Enhancing of semigroups1983-01-01Paper
First hitting time of curvilinear boundary by Wiener process1982-01-01Paper
Subprocesses of stationary Markov processes1981-01-01Paper
https://portal.mardi4nfdi.de/entity/Q38750001980-01-01Paper
On Events Connected with Reaching a Set by Sample Paths of a Stochastic Process1976-01-01Paper
A Formula for Wanderings of a Regular Markov Process1976-01-01Paper
https://portal.mardi4nfdi.de/entity/Q55540161968-01-01Paper
On a Property of a Sequence of Events1968-01-01Paper

Research outcomes over time


Doctoral students

No records found.


Known relations from the MaRDI Knowledge Graph

PropertyValue
MaRDI profile typeMaRDI person profile
instance ofhuman


This page was built for person: Michael I. Taksar