Wendell Fleming, Publications

Books

1. Functions of Several Variables, Addison-Wesley, 1965, 2nd ed., Springer-Verlag, 1977.
2. Deterministic and Stochastic Optimal Control, (with R.W. Rishel), Springer-Verlag, 1975.
3. Controlled Markov Processes and Viscosity Solutions, (with H.M. Soner) Springer-Verlag, 1992;
   Second Edition 2006.

Publications

1. Risk sensitive control on an infinite time horizon, (with W.M. McEneaney) SIAM Journal on Control and Optimiz., 33, (1995) 1881-1915.
   

2. Optimal investment models and risk sensitive stochastic control, in IMA Volumes in Math and Applic., No. 65, (1995) 75-88.
   

3. The risk-sensitive index and the H2 and H norms for nonlinear systems, (with M.R. James) Math. of Control, Signals and Sys, 8, (1995) 199-221.
   

4. Risk sensitive control of finite state machines on an infinite horizon I, (with D. Hernandez-Hernandez) SIAM Journal on Control and Optimiz., 35, (1997) 1790-1810.
   

5. Some results and problems in risk sensitive stochastic control, Computational and Applied Math., 16, (1997) 99-115.
   

6. Asymptotics for the principal engenvalue and eigenvetor of a nearly first order operator with large potential, (with S.-J. Sheu) Annals of Probab., 25, (1997) 1953- 1994.
   

7. Risk-sensitive production planning of a stochastic manufacturing system, (with Q. Zhang) SIAM Journal on Control and Optimiz., 36, (1998) 1147-1170.
   

8. Risk sensitive control of finite state machines on an infinite horizon II, (with D. Hernandez-Hernandez), SIAM Journal on Control and Optimiz., 37 (1999) 1048-1069.
   

9. Deterministic nonlinear filtering, Annali Scuola Normale Superiore Pisa, Sci. Fis. Matem. Se . 4, 25 (1997) 435-454.
   

10. A max-plus based algorithm for an HJB equation of nonlinear filtering, (with W.M. McEneaney) SIAM Journal on Control and Optimiz., 38 (2000) 683-710.
    

11. Optimal long term growth rate of expected utility of wealth, (with S.-J. Sheu) Ann. Appl. Prob. 9 (1998) 871-903.
    

12. Risk sensitive control and an optimal investment model, (with S.-J. Sheu) Math. Finance, 10 (2000) 197-213.
    

13. Stochastic optimal control, international finance and debt, (with J.L. Stein), J. of Banking and Finance, 28 (2004) 979-996.
    

14. Controlled Markov processes and mathematical finance, in Nonlinear Analysis Differential Equations and Control, (ed. F.H. Clarke and R.J. Stein), Kluwer Academic Publishers, NATO Science Series C: Math. Phys. Sci., Vol. 528, (1999), 407-446.
    

15. Deterministic and stochastic approaches to nonlinear filtering, (with W.M. McEneaney) Math. Control Signals Systems, 14 (2001) 109-142.
    

16. Risk sensitive control and an optimal investment model II, (with S.-J. Sheu) Annals Appl. Probab., 12 (2002) 730-767.
    
    
17. Stochastic control models of optimal investment and consumption, Aportaciones Mathematicas, 16 (2001) 159-203.
    
    
18. Max-plus stochastic processes, Applied Math. Optim., 49 (2004) 159-181.
    
    
19. An optimal consumption model with stochastic volatility (with D. Hernandez-Hernandez), Finance and Stochastics, 7 (2003) 245-262.
    
    
20. An application of stochastic control theory to financial economics, (with T. Pang) SIAM J. Control Optimiz. 43 (2004) 502-531.
    
    
21. A stochastic control model of investment, production and consumption, (with T. Pang) Quarterly of Applied Math. 63 (2005) 71-85.
    
    
22. The trade off between consumption and investment in incomplete financial markets (with D. Hernandez-Hernandez), Applied Math. Optim. 52 (2005) 219-234.
    
    
23. Optimal investment models with minimum consumption criteria, Australian Economic Papers 44 (2005), 307-321.
    
    
24. Risk sensitive stochastic control and differential games, Communications in Information and Systems, 6 (2006) 161-179.