Recent Publications
- On a Stochastic Irreversible Investment Problem (with M. B. Chiarolla),
SICON 48(2009), pp. 438 - 462.
- Multivariable Utility Functions (with M. B. Chiarolla), SIOPT 19(2008),
pp. 1511 - 1533.
- Explicit Solution of a Stochastic Irreversible Investment Problem and
its Moving Threshold (with M. Chiarolla), Mathematics of Operations
Research 30 (2005), pp. 91- 108, Erratum vol. 31 (2006), p. 432.
- The Modified Willow Tree Algorithm (with L. Yan), J. Computational
Finance 8 (2005), pp. 63-79.
- Optimizing the Terminal Wealth under Partial Information:
The Drift Process as a Continuous Markov Chain (with J. Sass),
Finance and Stochastics, 8(2004), pp. 553-577.
- Optimal Terminal Wealth under Partial Information
for HMM Stock Returns (with J. Sass), in "Mathematics of Finance",
Contemporary Mathematics vol. 351, G. Yin, Q. Zhang (eds), pp. 171-185,
AMS, Providence R.I. 2004.
- Portfolio optimization under partial information:
Stochastic volatility in a hidden Markov model (with J. Sass), in
Operations Research Proceedings 2003, D. Ahr, R. Fahrion, M. Oswald, G. Reinelt (eds),
pp 387--394, Springer, Berlin, 2004.
- A Dynamic Investment Model with Control on the Portfolio's Worst Case Outcome
(with Y. Zhao and W. Ziemba), Mathematical Finance 4(2003), pp. 481-501.
- Optimal portfolio selection and compression in an incomplete market
(with N. Dokuchaev), Quantitative Finance, 1(2001), pp. 336-345.
- Equilibrium in a stochastic model with consumption, wages and investment
(with M. B. Chiarolla), J. Mathematical Economics, 35(2001), pp. 311-346.
A revised version with an error corrected and many typos removed can be found at
Equilibrium in a stochastic model with consumption, wages and investment
- Controlling Inflation: the infinite horizon case (with M. B. Chiarolla),
J. Appl Math Optimization, 41(2000), pp. 25-50.
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