| Publication | Date of Publication | Type |
|---|
Classification of stochastic systems: deep learning and hypothesis testing
IEEE Transactions on Automatic Control | 2026-03-17 | Paper |
Realizing modular data from centers of near-group categories
Algebras and Representation Theory | 2026-03-09 | Paper |
Pairs trading: an optimal selling rule with constraints
Communications in Mathematical Sciences | 2026-01-22 | Paper |
An optimal stock selling rule with constraints
Annals of Mathematical Sciences and Applications | 2025-12-05 | Paper |
Improving blockchain consistency bound by assigning weights to random blocks
Operations Research | 2025-11-10 | Paper |
| Elicitation of priors for intervention effects in educational trial data | 2025-10-16 | Paper |
Modified Sombor index of graphs with a given girth
Houston Journal of Mathematics | 2025-09-26 | Paper |
Boundary stabilization of linear hyperbolic integro-differential equation with time-dependent coefficients
Automatica | 2025-08-05 | Paper |
On the Lyapunov constants of planar piecewise smooth systems separated by an analytical curve
Journal of Applied Analysis and Computation | 2025-05-21 | Paper |
A stochastic particle model for aggregate morphology and particle size distributions under coagulation process
Applied Mathematical Modelling | 2025-03-06 | Paper |
A mean reversion selling rule with constraints
Mathematical Control and Related Fields | 2025-02-27 | Paper |
Pairs trading under a mean reversion model with regime switching
Numerical Algebra, Control and Optimization | 2025-01-22 | Paper |
Pairs trading under GBM with reversible positions
Annals of Mathematical Sciences and Applications | 2025-01-14 | Paper |
| A constrained stochastic control problem with application to an illiquid stock position build-up | 2024-07-05 | Paper |
Pairs trading under geometric Brownian motions with regime switching
Pure and Applied Functional Analysis | 2024-06-11 | Paper |
| Optimal Strategies for Round-Trip Pairs Trading Under Geometric Brownian Motions | 2023-10-24 | Paper |
Deep Filtering With Adaptive Learning Rates
IEEE Transactions on Automatic Control | 2023-10-02 | Paper |
| Product of Rankin-Selberg convolutions and a new proof of Jacquet's local converse conjecture | 2023-09-19 | Paper |
| On a refined local converse theorem for SO(4) | 2023-02-13 | Paper |
Pairs trading under geometric Brownian motion models
Stochastic Analysis, Filtering, and Stochastic Optimization | 2022-11-15 | Paper |
Filtering with degenerate observation noise: a stochastic approximation approach
Automatica | 2022-07-05 | Paper |
The Dynkin game with regime switching and applications to pricing game options
Annals of Operations Research | 2022-07-05 | Paper |
An optimal pricing policy under a Markov chain model
Science China. Mathematics | 2022-05-04 | Paper |
| scientific article; zbMATH DE number 7514018 (Why is no real title available?) | 2022-04-25 | Paper |
Liquidation of a large block stock under a Markov chain model
SCIENTIA SINICA Mathematica | 2021-12-17 | Paper |
Deep filtering
Communications in Information and Systems | 2021-08-06 | Paper |
Pairs trading: an optimal selling rule under a regime switching model
Banach Center Publications | 2021-05-20 | Paper |
Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses
Automatica | 2020-03-24 | Paper |
Pollution control for switching diffusion models: approximation methods and numerical results
Discrete and Continuous Dynamical Systems. Series B | 2019-08-28 | Paper |
Switching between a pair of stocks: an optimal trading rule
Mathematical Control and Related Fields | 2019-07-03 | Paper |
Valuation of stock loans under a Markov chain model
Journal of Systems Science and Complexity | 2019-05-23 | Paper |
An optimal strategy for pairs trading under geometric Brownian motions
Journal of Optimization Theory and Applications | 2018-11-27 | Paper |
Optimal switching under a hybrid diffusion model and applications to stock trading
Automatica | 2018-10-17 | Paper |
Building up an illiquid stock position subject to expected fund availability: optimal controls and numerical methods
Applied Mathematics and Optimization | 2018-02-13 | Paper |
| Numerical methods for approximation of optimal liquidation rules of a large block stock under a Markov chain model | 2018-01-29 | Paper |
Optimal stopping of two-time scale Markovian systems: analysis, numerical methods, and applications
Nonlinear Analysis. Hybrid Systems | 2017-11-16 | Paper |
Continuous-time tracking algorithms involving two-time-scale Markov chains
IEEE Transactions on Signal Processing | 2017-09-20 | Paper |
Optimal selling rules in a regime switching model
IEEE Transactions on Automatic Control | 2017-07-12 | Paper |
An optimal mean-reversion trading rule under a Markov chain model
Mathematical Control and Related Fields | 2016-10-12 | Paper |
Optimal trend following trading rules
Mathematics of Operations Research | 2016-05-19 | Paper |
Mean-variance type controls involving a hidden Markov chain: models and numerical approximation
IMA Journal of Mathematical Control and Information | 2016-01-22 | Paper |
Applications of Numerical Methods for Stochastic Controlled Switching Diffusions with a Hidden Markov Chain: Case Studies on Distributed Power Management and Communication Resource Allocation
Finite Difference Methods,Theory and Applications | 2015-08-20 | Paper |
An optimal pairs-trading rule
Automatica | 2015-06-25 | Paper |
Asset allocation for regime-switching market models under partial observation
Dynamic Systems and Applications | 2014-11-10 | Paper |
Explicit solutions for an optimal stock selling problem under a Markov chain model
Journal of Mathematical Analysis and Applications | 2014-08-26 | Paper |
Trading a mean-reverting asset: buy low and sell high
Automatica | 2014-03-19 | Paper |
Weak convergence methods for approximation of the evaluation of path-dependent functionals
SIAM Journal on Control and Optimization | 2014-01-27 | Paper |
| scientific article; zbMATH DE number 6174826 (Why is no real title available?) | 2013-06-12 | Paper |
Discrete-time approximation of Wonham filters
Journal of Control Theory and Applications | 2013-04-10 | Paper |
Optimal trend-following trading rules under a three-state regime switching model
Mathematical Control and Related Fields | 2012-09-03 | Paper |
Continuous-time Markov chains and applications. A two-time-scale approach
Stochastic Modelling and Applied Probability | 2012-06-04 | Paper |
Optimal decision for selling an illiquid stock
Journal of Optimization Theory and Applications | 2012-01-12 | Paper |
Large deviations for two-time-scale systems driven by nonhomogeneous Markov chains and associated optimal control problems
SIAM Journal on Control and Optimization | 2011-11-10 | Paper |
| scientific article; zbMATH DE number 5954101 (Why is no real title available?) | 2011-10-05 | Paper |
Liquidation of a large block of stock with regime switching
Mathematical Finance | 2011-06-09 | Paper |
A trend-following strategy: conditions for optimality
Automatica | 2011-05-17 | Paper |
| scientific article; zbMATH DE number 5841177 (Why is no real title available?) | 2011-01-25 | Paper |
A stochastic approximation algorithm for option pricing model calibration with a switchable market
International Journal of Computer Mathematics | 2011-01-20 | Paper |
An optimal trading rule of a mean-reverting asset
Discrete and Continuous Dynamical Systems. Series B | 2011-01-17 | Paper |
Trend following trading under a regime switching model
SIAM Journal on Financial Mathematics | 2010-11-10 | Paper |
Stock loan valuation under a regime-switching model with mean-reverting and finite maturity
Journal of Systems Science and Complexity | 2010-11-03 | Paper |
A Fluid Flow Model for Empty Container Repositioning Policy with a Single Port and Stochastic Demand
SIAM Journal on Control and Optimization | 2010-10-20 | Paper |
Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model
SIAM Journal on Applied Mathematics | 2009-06-22 | Paper |
Stochastic Optimization Methods for Buying-Low-and-Selling-High Strategies
Stochastic Analysis and Applications | 2009-06-17 | Paper |
Balanced realizations of regime-switching linear systems
MCSS. Mathematics of Control, Signals, and Systems | 2009-02-09 | Paper |
Two-Time-Scale Approximation for Wonham Filters
IEEE Transactions on Information Theory | 2008-12-21 | Paper |
Option pricing in a regime-switching model using the fast Fourier transform
Journal of Applied Mathematics and Stochastic Analysis | 2008-08-15 | Paper |
Selling a large stock position: a stochastic control approach with state constraints
Communications in Information and Systems | 2008-08-14 | Paper |
A Two-Time-Scale Approach for Production Planning in Discrete Time
Analysis, Control and Optimization of Complex Dynamic Systems | 2007-10-24 | Paper |
Computational methods for pricing American put options
Journal of Optimization Theory and Applications | 2006-11-06 | Paper |
Optimal stock liquidation in a regime switching model with finite time horizon
Journal of Mathematical Analysis and Applications | 2006-07-20 | Paper |
Asymptotically optimal production policies in dynamic stochastic jobshops with limited buffers
Journal of Mathematical Analysis and Applications | 2006-04-06 | Paper |
A Near-Optimal Selling Rule for a Two-Time-Scale Market Model
Multiscale Modeling & Simulation | 2005-10-06 | Paper |
Near optimization of stochastic dynamic systems by decomposition and aggregation
Optimal Control Applications & Methods | 2005-09-21 | Paper |
| Optimal production rates in a deterministic two-product manufacturing system | 2005-09-21 | Paper |
Average-cost control of stochastic manufacturing systems.
Stochastic Modelling and Applied Probability | 2005-06-06 | Paper |
| scientific article; zbMATH DE number 2134072 (Why is no real title available?) | 2005-02-15 | Paper |
| scientific article; zbMATH DE number 2133131 (Why is no real title available?) | 2005-02-09 | Paper |
Nearly-optimal asset allocation in hybrid stock investment models.
Journal of Optimization Theory and Applications | 2005-01-11 | Paper |
Discrete-Time Markov Chains
Stochastic Modelling and Applied Probability | 2004-12-22 | Paper |
Closed-Form Solutions for Perpetual American Put Options with Regime Switching
SIAM Journal on Applied Mathematics | 2004-12-13 | Paper |
Asymptotic properties of a singularly perturbed Markov chain with inclusion of transient states.
The Annals of Applied Probability | 2004-10-27 | Paper |
Discrete-time dynamic systems arising from singularly perturbed Markov chains.
Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods | 2004-08-26 | Paper |
Exponential bounds for discrete-time singularly perturbed Markov chains
Journal of Mathematical Analysis and Applications | 2004-08-06 | Paper |
Control of singularly perturbed Markov chains: A numerical study
The ANZIAM Journal | 2004-05-18 | Paper |
| scientific article; zbMATH DE number 2015384 (Why is no real title available?) | 2004-02-25 | Paper |
| scientific article; zbMATH DE number 1944270 (Why is no real title available?) | 2004-02-20 | Paper |
Discrete-time singularly perturbed Markov chains: aggregation, occupation measures, and switching diffusion limit
Advances in Applied Probability | 2004-02-11 | Paper |
Near-optimal controls of discrete-time dynamic systems driven by singularly-perturbed Markov chains
Journal of Optimization Theory and Applications | 2003-10-27 | Paper |
Stability of Markov modulated discrete-time dynamic systems.
Automatica | 2003-10-14 | Paper |
Constrained stochastic estimation algorithms for a class of hybrid stock market models
Journal of Optimization Theory and Applications | 2003-09-15 | Paper |
NEARLY OPTIMAL CONTROL OF NONLINEAR MARKOVIAN SYSTEMS SUBJECT TO WEAK AND STRONG INTERACTIONS
Stochastic Analysis and Applications | 2003-06-01 | Paper |
Singularly perturbed Markov chains with two small parameters: A matched asymptotic expansion
Journal of Mathematical Analysis and Applications | 2003-05-31 | Paper |
| scientific article; zbMATH DE number 1867105 (Why is no real title available?) | 2003-03-24 | Paper |
Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
SIAM Journal on Optimization | 2003-01-05 | Paper |
| scientific article; zbMATH DE number 1944271 (Why is no real title available?) | 2003-01-01 | Paper |
| Multi-time scales in singularly perturbed forward equations for continuous-time Markov chains | 2002-10-24 | Paper |
| Stochastic manufacturing systems: A hierarchical control approach | 2002-10-17 | Paper |
Hierarchical production control in dynamic stochastic jobshops with long-run average cost
Journal of Optimization Theory and Applications | 2002-09-22 | Paper |
Nearly optimal control of singularly perturbed Markov decision processes in discrete time
Applied Mathematics and Optimization | 2002-08-25 | Paper |
Singularly perturbed Markov decision processes with inclusion of transient states.
Journal of Systems Science and Complexity | 2002-07-30 | Paper |
Optimal control of a marketing-production system
IEEE Transactions on Automatic Control | 2002-07-21 | Paper |
Random-direction optimization algorithms with applications to threshold controls
Journal of Optimization Theory and Applications | 2002-04-23 | Paper |
| scientific article; zbMATH DE number 2015394 (Why is no real title available?) | 2002-01-01 | Paper |
| scientific article; zbMATH DE number 2015359 (Why is no real title available?) | 2002-01-01 | Paper |
Asymptotically optimal controls of hybrid linear quadratic regulators in discrete time.
Automatica | 2002-01-01 | Paper |
Error bounds for occupation measure of singularly perturbed Markov chains including transient states
Probability in the Engineering and Informational Sciences | 2001-11-07 | Paper |
Hierarchical production control in a stochastic \(N\)-machine flowshop with limited buffers
Journal of Mathematical Analysis and Applications | 2001-09-23 | Paper |
Stock trading: an optimal selling rule
SIAM Journal on Control and Optimization | 2001-06-21 | Paper |
Occupation measures of singularly perturbed Markov chains with absorbing states
Acta Mathematica Sinica, English Series | 2001-03-28 | Paper |
Singularly perturbed Markov chains: Convergence and aggregation
Journal of Multivariate Analysis | 2000-12-18 | Paper |
| scientific article; zbMATH DE number 1331438 (Why is no real title available?) | 2000-10-22 | Paper |
Singularly Perturbed Discrete-Time Markov Chains
SIAM Journal on Applied Mathematics | 2000-10-18 | Paper |
Adaptive control of stochastic manufacturing systems with hidden Markovian demands and small noise
IEEE Transactions on Automatic Control | 2000-10-17 | Paper |
On nearly optimal controls of hybrid LQG problems
IEEE Transactions on Automatic Control | 2000-10-17 | Paper |
Hybrid filtering for linear systems with non-Gaussian disturbances
IEEE Transactions on Automatic Control | 2000-10-17 | Paper |
Near optimization of dynamic systems by decomposition and aggregation
Journal of Optimization Theory and Applications | 2000-07-18 | Paper |
| scientific article; zbMATH DE number 1301945 (Why is no real title available?) | 2000-01-13 | Paper |
Hierarchical production control in a stochastic \(N\)-machine flowshop with long-run average cost.
Journal of Mathematical Analysis and Applications | 2000-01-01 | Paper |
MINIMUM AVERAGE COST PRODUCTION PLANNING IN STOCHASTIC MANUFACTURING SYSTEMS
M\(^3\)AS. Mathematical Models & Methods in Applied Sciences | 1999-11-22 | Paper |
| scientific article; zbMATH DE number 1350741 (Why is no real title available?) | 1999-10-18 | Paper |
Optimal filtering of discrete-time hybrid systems
Journal of Optimization Theory and Applications | 1999-09-13 | Paper |
| scientific article; zbMATH DE number 1247831 (Why is no real title available?) | 1999-04-11 | Paper |
Structural properties of Markov chains with weak and strong interactions
Stochastic Processes and their Applications | 1999-01-14 | Paper |
| Asymptotically optimal controls of hybrid LQG problems: Summary of results. | 1999-01-01 | Paper |
Risk-Sensitive Production Planning of a Stochastic Manufacturing System
SIAM Journal on Control and Optimization | 1998-09-21 | Paper |
Nonlinear Filtering and Control of a Switching Diffusion with Small Observation Noise
SIAM Journal on Control and Optimization | 1998-09-21 | Paper |
Producing in a manufacturing system with minimum average cost
Nonlinear Analysis: Theory, Methods & Applications | 1998-09-07 | Paper |
Controlled Markov chains with weak and strong interactions: Asymptotic optimality and applications to manufacturing
Journal of Optimization Theory and Applications | 1998-04-19 | Paper |
Hierarchical production control in a stochastic manufacturing system with long-run average cost
Journal of Mathematical Analysis and Applications | 1998-03-24 | Paper |
Markov chains with weak and strong interactions: Structural properties
Nonlinear Analysis: Theory, Methods & Applications | 1998-03-05 | Paper |
Control of dynamic systems under the influence of singularly perturbed Markov chains
Journal of Mathematical Analysis and Applications | 1998-02-09 | Paper |
| scientific article; zbMATH DE number 1113626 (Why is no real title available?) | 1998-02-05 | Paper |
A numerical method in optimal production and setup scheduling of stochastic manufacturing systems
IEEE Transactions on Automatic Control | 1997-12-04 | Paper |
Constructing asymptotic series for probability distributions of Markov chains with weak and strong interactions
Quarterly of Applied Mathematics | 1997-09-02 | Paper |
Optimal production planning in a stochastic manufacturing system with long-run average cost
Journal of Optimization Theory and Applications | 1997-08-25 | Paper |
Finite state markovian decision processes with weak and strong interactions
Stochastics and Stochastic Reports | 1997-08-05 | Paper |
| scientific article; zbMATH DE number 970146 (Why is no real title available?) | 1997-03-11 | Paper |
| scientific article; zbMATH DE number 970112 (Why is no real title available?) | 1997-03-11 | Paper |
| scientific article; zbMATH DE number 912605 (Why is no real title available?) | 1997-01-19 | Paper |
A central limit theorem for singularly perturbed nonstationary finite state Markov chains
The Annals of Applied Probability | 1997-01-14 | Paper |
Asymptotic Expansions of Singularly Perturbed Systems Involving Rapidly Fluctuating Markov Chains
SIAM Journal on Applied Mathematics | 1996-11-14 | Paper |
Turnpike sets in stochastic manufacturing systems with finite time horizon
Stochastics and Stochastic Reports | 1996-10-13 | Paper |
Robust production and maintenance planning in stochastic manufacturing systems
IEEE Transactions on Automatic Control | 1996-05-13 | Paper |
Minimax production planning in failure-prone manufacturing systems
Journal of Optimization Theory and Applications | 1996-02-06 | Paper |
Hierarchical production and setup scheduling in stochastic manufacturing systems
IEEE Transactions on Automatic Control | 1996-01-30 | Paper |
Multilevel Hierarchical Decision Making in Stochastic Marketing–Production Systems
SIAM Journal on Control and Optimization | 1995-11-27 | Paper |
Optimal feedback production planning in a stochastic \(N\)-machine flowshop
Automatica | 1995-11-26 | Paper |
Asymptotic optimal controls in stochastic manufacturing systems with machine failures dependent on production rates
Stochastics and Stochastic Reports | 1995-10-18 | Paper |
Risk-Sensitive Production Planning of Stochastic Manufacturing Systems: A Singular Perturbation Approach
SIAM Journal on Control and Optimization | 1995-05-11 | Paper |
An asymptotic analysis of controlled diffusions with rapidly oscillating parameters
Stochastics and Stochastic Reports | 1995-02-06 | Paper |
Piecewise deterministic Markov process model for flexible manufacturing systems with preventive maintenance
Journal of Optimization Theory and Applications | 1994-09-29 | Paper |
Hierarchical production planning in dynamic stochastic manufacturing systems: Asymptotic optimality and error bounds
Journal of Mathematical Analysis and Applications | 1994-06-16 | Paper |
Near optimality of stochastic control in systems with unknown parameter processes
Applied Mathematics and Optimization | 1994-05-05 | Paper |
| scientific article; zbMATH DE number 440559 (Why is no real title available?) | 1993-12-05 | Paper |
| scientific article; zbMATH DE number 440565 (Why is no real title available?) | 1993-11-28 | Paper |
Discrete-time stochastic adaptive control with small observation noise
Applied Mathematics and Optimization | 1992-08-13 | Paper |
| scientific article; zbMATH DE number 17493 (Why is no real title available?) | 1992-06-26 | Paper |
| scientific article; zbMATH DE number 16917 (Why is no real title available?) | 1992-06-26 | Paper |
Stochastic adaptive control with small observation noise
Stochastics and Stochastic Reports | 1992-06-25 | Paper |
Controlled partially observed diffusions with correlated noise
Applied Mathematics and Optimization | 1990-01-01 | Paper |
A note on a nonlinear semigroup for controlled partially observed diffusions
Systems & Control Letters | 1988-01-01 | Paper |
