The following pages link to Tomasz R. Bielecki (Q196872):
Displayed 50 items.
- Intricacies of dependence between components of multivariate Markov chains: weak Markov consistency and weak Markov copulae (Q388912) (← links)
- Hedging of a credit default swaption in the CIR default intensity model (Q483934) (← links)
- Conditional Markov chains: properties, construction and structured dependence (Q516008) (← links)
- Study of dependence for some stochastic processes: symbolic Markov copulae (Q765883) (← links)
- (Q912053) (redirect page) (← links)
- Adaptive control of continuous-time linear stochastic systems with discounted cost criterion (Q912054) (← links)
- Defaultable game options in a hazard process model (Q1039923) (← links)
- Singulary perturbed Markov control problem: Limiting average cost (Q1174700) (← links)
- Ergodic control of a singularly perturbed Markov process in discrete time with general state and compact action spaces (Q1273446) (← links)
- Risk-sensitive dynamic asset management (Q1288988) (← links)
- Risk sensitive asset allocation (Q1575279) (← links)
- (Q1684155) (redirect page) (← links)
- Recursive construction of confidence regions (Q1684156) (← links)
- Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management (Q1809495) (← links)
- On ergodic control problems for singularly perturbed Markov processes (Q1823558) (← links)
- Risk sensitive asset management with transaction costs (Q1979075) (← links)
- Semimartingales and shrinkage of filtration (Q2240853) (← links)
- Dynamic hedging of portfolio credit risk in a Markov copula model (Q2247917) (← links)
- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective (Q2296091) (← links)
- Arbitrage-free pricing of derivatives in nonlinear market models (Q2296111) (← links)
- Pricing and trading credit default swaps in a hazard process model (Q2378639) (← links)
- Portfolio optimization with a defaultable security (Q2643672) (← links)
- Wiener-Hopf factorization for arithmetic Brownian motion with time-dependent drift and volatility (Q2680397) (← links)
- Construction and simulation of generalized multivariate Hawkes processes (Q2684947) (← links)
- Multiple Ratings Model of Defaultable Term Structure (Q2707138) (← links)
- (Q2771112) (← links)
- Dynamic assessment indices (Q2803410) (← links)
- DYNAMIC COHERENT ACCEPTABILITY INDICES AND THEIR APPLICATIONS TO FINANCE (Q2875722) (← links)
- Convertible Bonds in a Defaultable Diffusion Model (Q2909987) (← links)
- Valuation and Hedging of Contracts with Funding Costs and Collateralization (Q2941474) (← links)
- DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK (Q3005840) (← links)
- Adaptive control of a Markov chain over a finite parameter set without continuity assumptions on the control laws (Q3026848) (← links)
- Up and down credit risk (Q3064015) (← links)
- Adaptive Robust Control under Model Uncertainty (Q3121333) (← links)
- Approximations of dynamic Nash games with general state and action spaces and ergodic costs for the players (Q3122810) (← links)
- (Q3158097) (← links)
- (Q3160495) (← links)
- (Q3160496) (← links)
- Dynamic Limit Growth Indices in Discrete Time (Q3194564) (← links)
- NO-ARBITRAGE PRICING FOR DIVIDEND-PAYING SECURITIES IN DISCRETE-TIME MARKETS WITH TRANSACTION COSTS (Q3195490) (← links)
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (Q3370587) (← links)
- Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices (Q3424144) (← links)
- Dynamic Conic Finance via Backward Stochastic Difference Equations (Q3456838) (← links)
- (Q3494842) (← links)
- (Q3496273) (← links)
- (Q3511641) (← links)
- Study of Dependence for Some Stochastic Processes (Q3518313) (← links)
- Arbitrage pricing of defaultable game options with applications to convertible bonds (Q3605239) (← links)
- (Q3613979) (← links)
- Optimality of Zero-Inventory Policies for Unreliable Manufacturing Systems (Q3798470) (← links)