Research Interest
- Stochastic optimization, stochastic games, importance sampling, queueing networks, large deviations.
Research Papers
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Importance sampling for Jackson network (with P. Dupuis). submitted .
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Importance sampling for weighted-serve-the-longest-queue policy (with P. Dupuis and K. Leder). submitted .
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Large deviations for weighted-serve-the-longest-queue (with P. Dupuis and K. Leder). Progress in Probability (2008),
V. Sidoravicius and M.E. Vares (Editors). X EBP, Brazil.
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Large deviations and importance sampling for a tandem network with slowdown (with P. Dupuis and K. Leder). QUESTA 57, 71-83(2007).
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Importance sampling for tandem networks (with P. Dupuis and A.D. Sezer). Ann. Appl. Prob. 17, 1306-1346 (2007). PDF .
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Notes on importance sampling for random variables with regularly varying tails (with P. Dupuis and K. Leder).
ACM Trans. Modeling Comp. Simulation.
17(3), Article 14 (2007).
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Subsolutions of an Isaacs equation and efficient schemes of importance sampling (with P. Dupuis).
Math. OR. 32 (2007), 723-757.
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- Pricing path-dependent options with jump risk via Laplace transform (with S. Kou and G. Petrella).
Kyoto Econ. Review 74 (2005), 1-23.
- On the convergence from discrete to continuous time in an optimal stopping problem (with P. Dupuis).
Ann. Appl. Prob. 15 (2005), 1339-1366. PDF
- On the optimality of conditional expectation as a Bregman predictor (with A. Banerjee and X. Guo).
IEEE. Trans. Info. Theory. 51 (2005), 2664-2669. PDF
- A sequential entry problem with forced exits.
Math. Oper. Res. 30 (2005), 501-520. PDF
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Dynamic importance sampling for uniformly recurrent Markov chains (with P. Dupuis). Ann. Appl. Prob. 15 (2005), 1-38.
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Importance Sampling, Large Deviations, and Differential Games (with P. Dupuis).
Stochastics and Stochastics Reports 76 (2004), 481-508. PDF
- Option pricing under a double exponential jump diffusion models (with S. Kou).
Management Sciences 50 (2004) , 1178-1192. PDF
- Control with partial observations and an explicit solution of Mortensen equation (with V. Benes, I. Karatzas, and D.Ocone).
Appl. Math. Optim. 49 (2004), 217-239. PDF
- First passage times of a jump diffusion process (with S. Kou). Adv. Appl. Prob. 35 (2003), 504-531.
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- A capacity expansion problem featuring exponential jump diffusion processes.
Stochastics and Stochastics Reports 75 (2003), 259-274. PDF
- Optimal stopping with random intervention times (with P. Dupuis). Adv. Appl. Prob. 34 (2002), 1-17.PDF
- On optimal terminal wealth under transaction costs (with J. Cvitanic). J. Math. Econ. 35 (2001),
223-231.
- Some control problems with random intervention times. Adv. Appl. Prob. 33 (2001), 402-422.PDF
- Utility maximization with random endowments in incomplete markets (with J. Cvitanic and W. Schachermayer).
Finan. and Stoch. 5 (2001), 259-272. PDF
- Connections between bounded variation control and Dynkin games (with I. Karatzas).
Optimal Control and Partial Differential Equations 353-362 (2001). IOS Press, Amsterdam. PDF
- Utility maximization with discretionary stopping (with I. Karatzas).
SIAM J. on Control and Optim. 39 (2000), 306-329. PDF
- Discretization of deflated bond prices (with P. Glasserman). Adv. Appl. Prob. 32 (2000), 540-563. PDF
- A barrier option of American type (with I. Karatzas). Appl. Math. Optim. 42 (2000), 259-280. PDF
- A finite-fuel control problem with discretionary stopping
(with I. Karatzas, D. Ocone, and M. Zervos". Stoch. and Stoch. Rep. 71 (2000), 1-50.PDF
- A minimization problem arising from prescribing scalar curvature functions (with L. Ma). Math. Z. 222 (1996), 1-6.