Recent Publications

·       Equilibrium in a production economy, with M. B. Chiarolla, J. Appl. Math. Optimization 63 (2011), 435-461.

·       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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