Wendell H. Fleming

Professor Emeritus
Division of Applied Mathematics
Brown University

Contact Information
Phone: (401) 863-3718
FAX: (401) 863-1355
E-mail: whf@dam.brown.edu

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.

 

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