| Publication | Date of Publication | Type |
|---|
Growth and inflation targeting by the government and the central bank: alignment or conflict?
International Journal of Economic Theory | 2025-10-01 | Paper |
Zero-sum stochastic games in continuous-time with risk-sensitive average cost criterion on a countable state space
Mathematical Control and Related Fields | 2024-04-12 | Paper |
Nonzero-sum risk-sensitive stochastic differential games: a multi-parameter eigenvalue problem approach
Systems & Control Letters | 2023-06-20 | Paper |
Nonzero-sum risk-sensitive stochastic differential games: a multi-parameter eigenvalue problem approach
Systems & Control Letters | 2023-06-20 | Paper |
Discrete-time zero-sum games for Markov chains with risk-sensitive average cost criterion
Stochastic Processes and their Applications | 2023-03-14 | Paper |
Nonzero-sum risk-sensitive continuous-time stochastic games with ergodic costs
Applied Mathematics and Optimization | 2022-06-10 | Paper |
A nonzero-sum risk-sensitive stochastic differential game in the orthant
Mathematical Control and Related Fields | 2022-03-29 | Paper |
Discrete-time Zero-Sum Games for Markov chains with risk-sensitive average cost criterion
(available as arXiv preprint) | 2022-01-11 | Paper |
Portfolio optimization managing value at risk under heavy tail return, using stochastic maximum principle
Stochastic Analysis and Applications | 2021-12-16 | Paper |
Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain
Stochastic Analysis and Applications | 2021-11-18 | Paper |
| Zero-Sum Games for Continuous-time Markov Decision Processes with Risk-Sensitive Average Cost Criterion | 2021-09-18 | Paper |
Nonzero-sum risk-sensitive stochastic differential games with discounted costs
Stochastic Analysis and Applications | 2021-04-27 | Paper |
Zero-sum risk-sensitive stochastic differential games with reflecting diffusions in the orthant
ESAIM: Control, Optimisation and Calculus of Variations | 2021-03-17 | Paper |
Nonzero-sum risk-sensitive stochastic games on a countable state space
Mathematics of Operations Research | 2020-03-12 | Paper |
Risk-sensitive stochastic differential games with reflecting diffusions
Stochastic Analysis and Applications | 2018-03-14 | Paper |
Continuous-time controlled jump Markov processes on the finite horizon
Systems & Control: Foundations & Applications | 2017-11-22 | Paper |
Zero-sum risk-sensitive stochastic games for continuous time Markov chains
Stochastic Analysis and Applications | 2016-09-26 | Paper |
Risk-sensitive control of continuous time Markov chains
Stochastics | 2016-06-10 | Paper |
| Nonzero-sum risk-sensitive stochastic differential games | 2016-04-05 | Paper |
A mean-reverting stochastic model for the political business cycle
Stochastic Analysis and Applications | 2016-04-01 | Paper |
| Nonzero-Sum Risk Sensitive Stochastic Games for Continuous Time Markov Chains | 2016-03-08 | Paper |
Zero-sum risk-sensitive stochastic differential games
Mathematics of Operations Research | 2014-10-21 | Paper |
Zero-sum risk-sensitive stochastic games on a countable state space
Stochastic Processes and their Applications | 2014-02-06 | Paper |
Pricing credit derivatives in a Markov-modulated reduced-form model
International Journal of Theoretical and Applied Finance | 2013-08-15 | Paper |
Optimal control of Markov processes with age-dependent transition rates
Applied Mathematics and Optimization | 2013-08-05 | Paper |
Non-stationary semi-Markov decision processes on a finite horizon
Stochastic Analysis and Applications | 2013-04-22 | Paper |
Influence of big traders on the stock market: theory and simulation
Dynamic Games and Applications | 2012-12-04 | Paper |
Existence of value in stochastic differential games of mixed type
Stochastic Analysis and Applications | 2012-11-09 | Paper |
Pricing defaultable bonds in a Markov modulated market
Stochastic Analysis and Applications | 2012-06-20 | Paper |
| Ergodic control of diffusion processes. | 2011-12-19 | Paper |
Stochastic Processes with Age-Dependent Transition Rates
Stochastic Analysis and Applications | 2011-06-07 | Paper |
Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market
Stochastic Analysis and Applications | 2011-04-19 | Paper |
Application of nonlinear filtering to credit risk
Operations Research Letters | 2010-12-23 | Paper |
Equilibrium and stability of a stock market game with big traders
Differential Equations and Dynamical Systems | 2010-11-30 | Paper |
Risk Minimizing Option Pricing in a Semi-Markov Modulated Market
SIAM Journal on Control and Optimization | 2010-06-10 | Paper |
Portfolio optimization in a semi-Markov modulated market
Applied Mathematics and Optimization | 2010-01-18 | Paper |
Asymptotic analysis of option pricing in a Markov modulated market
Operations Research Letters | 2009-12-07 | Paper |
Differential games of mixed type with control and stopping times
NoDEA. Nonlinear Differential Equations and Applications | 2009-06-08 | Paper |
Partially observed semi-Markov zero-sum games with average payoff
Journal of Mathematical Analysis and Applications | 2008-06-24 | Paper |
Risk Minimizing Option Pricing in a Regime Switching Market
Stochastic Analysis and Applications | 2008-04-29 | Paper |
Zero-sum stochastic games with stopping and control
Operations Research Letters | 2008-01-21 | Paper |
Stochastic Differential Games with Multiple Modes and Applications to Portfolio Optimization
Stochastic Analysis and Applications | 2007-09-21 | Paper |
Nonzero-sum stochastic differential games with reflecting diffusions
Computational and Applied Mathematics | 2007-09-19 | Paper |
Non-cooperative N-person semi-Markov games on a denumerable state space
Computational and Applied Mathematics | 2007-09-19 | Paper |
An optimal hybrid control problem in a Hilbert space
Differential Equations and Dynamical Systems | 2007-09-07 | Paper |
Partially Observable Semi-Markov Games with Discounted Payoff
Stochastic Analysis and Applications | 2007-02-15 | Paper |
| Modeling stochastic hybrid systems | 2006-02-13 | Paper |
Differential Games with Ergodic Payoff
SIAM Journal on Control and Optimization | 2005-09-15 | Paper |
A nonzero-sum stochastic differential game in the orthant
Journal of Mathematical Analysis and Applications | 2005-04-21 | Paper |
Existence of value and saddle point in infinite-dimensional differential games.
Journal of Optimization Theory and Applications | 2005-01-11 | Paper |
A probabilistic approach to second order variational inequalities with bilateral constraints
Proceedings of the Indian Academy of Sciences. Mathematical Sciences | 2004-03-17 | Paper |
Ergodic Control of Partially Degenerate Diffusions in a Compact Domain
Stochastics and Stochastic Reports | 2003-12-18 | Paper |
A stochastic differential game in the orthrant
Journal of Mathematical Analysis and Applications | 2002-03-06 | Paper |
On the controllability of a class of nonlinear stochastic systems
Systems & Control Letters | 2002-03-03 | Paper |
Stability and functional limit theorems for random degenerate diffusions
Sankhyā. Series A. Methods and Techniques | 2001-09-11 | Paper |
Harnack's inequality for cooperative weakly coupled elliptic systems
Communications in Partial Differential Equations | 2000-04-13 | Paper |
Stochastic games with average payoff criterion
Applied Mathematics and Optimization | 1998-12-07 | Paper |
Limit theorems for random degenerate diffusions
Nonlinear Analysis: Theory, Methods & Applications | 1998-11-01 | Paper |
Stochastic differential games with multiple modes
Stochastic Analysis and Applications | 1998-09-20 | Paper |
Zero-sum stochastic differential games with reflecting diffusions
Computational and Applied Mathematics | 1998-04-13 | Paper |
Ergodic Control of Switching Diffusions
SIAM Journal on Control and Optimization | 1998-02-09 | Paper |
Controlled random degenerate diffusions under long-run average cost
Stochastics and Stochastic Reports | 1997-09-17 | Paper |
Ergodic control of degenerate diffusions
Stochastic Analysis and Applications | 1997-04-16 | Paper |
Stability of a random diffusion with linear drift
Journal of Mathematical Analysis and Applications | 1997-02-25 | Paper |
Errata corrige to: Stochastic differential games: Occupation measure based approach
Journal of Optimization Theory and Applications | 1996-09-16 | Paper |
A note on an LQG regulator with Markovian switching and pathwise average cost
IEEE Transactions on Automatic Control | 1996-08-15 | Paper |
| scientific article; zbMATH DE number 889551 (Why is no real title available?) | 1996-07-18 | Paper |
Controlled Markov processes on the infinite planning horizon: Weighted and overtaking cost criteria
ZOR Zeitschrift f� Operations Research Methods and Models of Operations Research | 1994-06-19 | Paper |
Stochastic differential games: Occupation measure based approach
Journal of Optimization Theory and Applications | 1994-04-27 | Paper |
Denumerable state stochastic games with limiting average payoff
Journal of Optimization Theory and Applications | 1994-04-27 | Paper |
Optimal Control of Switching Diffusions with Application to Flexible Manufacturing Systems
SIAM Journal on Control and Optimization | 1993-12-06 | Paper |
| scientific article; zbMATH DE number 440543 (Why is no real title available?) | 1993-11-28 | Paper |
Discrete-Time Controlled Markov Processes with Average Cost Criterion: A Survey
SIAM Journal on Control and Optimization | 1993-09-13 | Paper |
On strong average optimality of Markov decision processes with unbounded costs
Operations Research Letters | 1993-01-16 | Paper |
Correction to: Ergodic and adaptive control of nearest-neighbor motions
MCSS. Mathematics of Control, Signals, and Systems | 1993-01-16 | Paper |
| scientific article; zbMATH DE number 32015 (Why is no real title available?) | 1992-06-28 | Paper |
Controlled diffusions with constraints
Journal of Mathematical Analysis and Applications | 1992-06-25 | Paper |
Ergodic and adaptive control of nearest-neighbor motions
MCSS. Mathematics of Control, Signals, and Systems | 1992-06-25 | Paper |
A note on controlled diffusions with long finite horizon
Systems & Control Letters | 1991-01-01 | Paper |
Ergodic control of multidimensional diffusions. II: Adaptive control
Applied Mathematics and Optimization | 1990-01-01 | Paper |
Markov decision processes with multiple costs
Operations Research Letters | 1990-01-01 | Paper |
Ergodic Control of Multidimensional Diffusions I: The Existence Results
SIAM Journal on Control and Optimization | 1988-01-01 | Paper |
