| Publication | Date of Publication | Type |
|---|
Bounds for a risk-sensitive homing problem
Automatica | 2024-05-30 | Paper |
Remarks on a controlled degenerate diffusion process
European Journal of Control | 2024-05-29 | Paper |
One-sided maximal inequalities for a randomly stopped Bessel process
Sequential Analysis | 2023-07-06 | Paper |
A note on the stochastic version of the Gronwall lemma
Stochastic Analysis and Applications | 2023-05-15 | Paper |
On the exact constants in one-sided maximal inequalities for Bessel processes
Sequential Analysis | 2023-03-17 | Paper |
Homing Problems With Control in the Diffusion Coefficient
IEEE Transactions on Automatic Control | 2022-07-28 | Paper |
Bounds for expected payoff on two stocks
Mathematica Applicanda | 2022-03-15 | Paper |
A stochastic convolution integral inequality
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2021-02-10 | Paper |
Extension of a stochastic Gronwall lemma
Bulletin Polish Acad. Sci. Math. | 2021-02-02 | Paper |
Remark on maximal inequalities for Bessel processes
Journal of Mathematical Analysis and Applications | 2019-11-28 | Paper |
| Bounds for exponential moments of Bessel processes | 2019-11-08 | Paper |
A stochastic Gronwall lemma revisited
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2019-07-04 | Paper |
One-sided maximal inequalities for a stock process
Journal of Mathematical Analysis and Applications | 2017-10-13 | Paper |
A sharp maximal inequality for a geometric Brownian motion
Taiwanese Journal of Mathematics | 2017-03-09 | Paper |
Maximal exponential inequalities for certain diffusion processes
Theory of Probability & Its Applications | 2017-03-09 | Paper |
A note on a two-person zero-sum stopping game
Scientiae Mathematicae Japonicae | 2016-07-01 | Paper |
A note on a two-person zero-sum stopping game
Scientiae Mathematicae Japonicae | 2016-07-01 | Paper |
A bilevel programming approach to double optimal stopping
Applied Mathematics and Computation | 2016-04-25 | Paper |
On maximal inequalities via comparison principle
Journal of Inequalities and Applications | 2016-03-31 | Paper |
Pareto optimality in a bicriterion optimal stopping problem
Sequential Analysis | 2015-08-24 | Paper |
| Probabilistic solution to a two-dimensional LQG homing problem | 2014-12-09 | Paper |
Optimal stopping problem with a vector-valued reward function
Numerical Functional Analysis and Optimization | 2014-06-19 | Paper |
On a stopped functional for a bidimensional process
Chaos, Solitons and Fractals | 2013-08-07 | Paper |
Explicit solution for a vector-valued LQG homing problem
Optimization Letters | 2013-03-12 | Paper |
LQG homing problem with a maximin cost
Journal of the Franklin Institute | 2012-12-28 | Paper |
Asymptotic behaviour of a nonlinear equation and its application
Communications in Nonlinear Science and Numerical Simulation | 2011-09-23 | Paper |
A note on a nonlinear functional equation and its application
Journal of Mathematical Analysis and Applications | 2011-06-20 | Paper |
On a decomposition result in a Dynkin stopping game
Journal of Information and Optimization Sciences | 2011-05-10 | Paper |
A note on explicit bounds for a stopped Feynman-Kac functional
Statistics & Probability Letters | 2010-12-20 | Paper |
Controlling a stopped diffusion process to reach a goal
Statistics & Probability Letters | 2010-07-13 | Paper |
Risk-sensitive control for a class of homing problems
Automatica | 2010-01-08 | Paper |
Bounds for a constrained optimal stopping problem
Optimization Letters | 2009-10-15 | Paper |
A note on FBSDE characterization of mean exit times
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2009-08-05 | Paper |
Exit probability for an integrated geometric Brownian motion
Statistics & Probability Letters | 2009-06-24 | Paper |
| Stopping game on two stocks driven by Lévy processes | 2009-04-08 | Paper |
On Wald Optimal Stopping Problem for Geometric Brownian Motions
Sequential Analysis | 2008-12-04 | Paper |
On a problem of optimal stopping in mathematical finance
Journal of Interdisciplinary Mathematics | 2008-12-01 | Paper |
On mean exit time from a curvilinear domain
Statistics & Probability Letters | 2008-11-25 | Paper |
On a problem of optimal harvesting from a stochastic system with a jump component
Stochastics and Stochastic Reports | 2002-01-01 | Paper |
