J. Baczynski

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Exploring non-Analytical affine jump-diffusion models for path-dependent interest rate derivatives Computational Management Science	2024-05-14	Paper
A geometric approach to pricing multi-asset barrier options	2022-02-07	Paper
A new approach to risk sensitivity IMA Journal of Mathematical Control and Information	2018-09-27	Paper
Pricing and hedging barrier options Applied Stochastic Models in Business and Industry	2018-09-14	Paper
Optimal linear mean square filter for continuous-time jump linear systems IEEE Transactions on Automatic Control	2017-07-12	Paper
A new finite difference method for pricing and hedging fixed income derivatives: comparative analysis and the case of an Asian option Journal of Computational and Applied Mathematics	2015-12-14	Paper
A note on the convergence of probability functions of Markov chains Markov Processes and Related Fields	2013-11-11	Paper
Maximal solution to algebraic Riccati equations linked to infinite Markov jump linear systems MCSS. Mathematics of Control, Signals, and Systems	2008-10-16	Paper
Maximal versus strong solution to algebraic Riccati equations arising in infinite Markov jump linear systems Systems & Control Letters	2008-02-21	Paper
On an infinite dimensional perturbed Riccati differential equation arising in stochastic control Linear Algebra and its Applications	2005-09-28	Paper
scientific article; zbMATH DE number 2015589 (Why is no real title available?)	2004-03-04	Paper
Lyapunov coupled equations for continuous-time infinite Markov jump linear systems Journal of Mathematical Analysis and Applications	2003-02-11	Paper
On a discrete-time linear jump stochastic dynamic game	2002-12-10	Paper
Stochastic versus mean square stability in continuous time linear infinite Markov jump parameter systems Stochastic Analysis and Applications	2002-08-01	Paper
Optimal control for continuous-time linear quadratic problems with infinite Markov jump parameters SIAM Journal on Control and Optimization	2001-10-29	Paper

Research outcomes over time

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