Łukasz Stettner: search on Z-Library

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1

Option Pricing in Discrete-Time Incomplete Market Models

Lukasz Stettner

Journal:

Mathematical Finance

Year:

2000

Language:

english

File:

PDF, 267 KB

english, 2000

2

Impulsive Control of Portfolios

Jan Palczewski, Lukasz Stettner

Journal:

Applied Mathematics & Optimization

Year:

2007

Language:

english

File:

PDF, 366 KB

english, 2007

3

Infinite Horizon Risk Sensitive Control of Discrete Time Markov Processes under Minorization Property

Di Masi, Giovanni B., Stettner, Łukasz

Journal:

SIAM Journal on Control and Optimization

Year:

2007

Language:

english

File:

PDF, 253 KB

english, 2007

4

Discrete time adaptive impulsive control theory

Lukasz Stettner

Journal:

Stochastic Processes and their Applications

Year:

1986

Language:

english

File:

PDF, 990 KB

english, 1986

5

Applications of variational inequalities in stochastic control: Alain BENSOUSSAN and Jacques-Louis LIONS Volume 12 in: Studies in mathematics and its Applications, North-Holland, Amsterdam, 1982, xii + 564 pages, Df1.175.00

Łukasz Stettner

Journal:

European Journal of Operational Research

Year:

1983

Language:

english

File:

PDF, 143 KB

english, 1983

6

Stopping of functionals with discontinuity at the boundary of an open set

Jan Palczewski, Łukasz Stettner

Journal:

Stochastic Processes and their Applications

Year:

2011

Language:

english

File:

PDF, 357 KB

english, 2011

7

Moment stability for linear systems with a random parametric excitation

Roman V. Bobryk, Lukasz Stettner

Journal:

Systems & Control Letters

Year:

2005

Language:

english

File:

PDF, 216 KB

english, 2005

8

Asymptotics of controlled finite memory filters

Rostyslav Bodnar, Łukasz Stettner

Journal:

Systems & Control Letters

Year:

2002

Language:

english

File:

PDF, 141 KB

english, 2002

9

On nearly self-optimizing strategies for a discrete-time uniformly ergodic adaptive model

Łukasz Stettner

Journal:

Applied Mathematics & Optimization

Year:

1993

Language:

english

File:

PDF, 660 KB

english, 1993

10

Zero-sum Markov games with stopping and impulsive strategies

Łukasz Stettner

Journal:

Applied Mathematics & Optimization

Year:

1982

Language:

english

File:

PDF, 915 KB

english, 1982

11

Average cost per unit time control of discrete time unreliable manufacturing systems with Markov demand

Krzysztof Łazarski, Łukasz Stettner

Journal:

Mathematical Methods of Operations Research

Year:

1999

Language:

english

File:

PDF, 212 KB

english, 1999

12

Risk sensitive portfolio optimization

Lukasz Stettner

Journal:

Mathematical Methods of Operations Research

Year:

1999

Language:

english

File:

PDF, 115 KB

english, 1999

13

Finite Horizon Optimal Stopping of Time-Discontinuous Functionals with Applications to Impulse Control with Delay

Palczewski, Jan, Stettner, Łukasz

Journal:

SIAM Journal on Control and Optimization

Year:

2010

Language:

english

File:

PDF, 380 KB

english, 2010

14

Nearly Optimal Controls for Stochastic Ergodic Problems with Partial Observation

Runggaldier, Wolfgang J., Stettner, Łukasz

Journal:

SIAM Journal on Control and Optimization

Year:

1993

Language:

english

File:

PDF, 3.43 MB

english, 1993

15

Infinite horizon stopping problems with (nearly) total reward criteria

Palczewski, Jan, Stettner, Łukasz

Journal:

Stochastic Processes and their Applications

Year:

2014

Language:

english

File:

PDF, 334 KB

english, 2014

16

Mean square stabilization of linear systems by mean zero noise

Bobryk, Roman V., Stettner, Lukasz

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

1999

Language:

english

File:

PDF, 556 KB

english, 1999

17

On the compactness method in general ergodic impulsive control of markov processes

Gatarek, Dariusz, Stettner, Lukasz

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

1990

Language:

english

File:

PDF, 451 KB

english, 1990

18

On ergodic impulsive control problems

Stettner, Łukasz

Journal:

Year:

1986

Language:

english

File:

PDF, 524 KB

english, 1986

19

Construction of Discrete Time Shadow Price

Rogala, Tomasz, Stettner, Lukasz

Journal:

Applied Mathematics & Optimization

Year:

2015

Language:

english

File:

PDF, 442 KB

english, 2015

20

On the poisson equation and optimal stopping of ergodic markov processes

Stettner, Lukasz

Journal:

Year:

1986

Language:

english

File:

PDF, 587 KB

english, 1986

21

Finite- and Infinite-Horizon Shapley Games with Nonsymmetric Partial Observation

Basu, Arnab, Stettner, Łukasz

Journal:

SIAM Journal on Control and Optimization

Year:

2015

Language:

english

File:

PDF, 367 KB

english, 2015

22

On Utility Maximization in Discrete-Time Financial Market Models

Miklós Rásonyi and Lukasz Stettner

Journal:

The Annals of Applied Probability

Year:

2005

Language:

english

File:

PDF, 1.66 MB

english, 2005

23

Long run risk sensitive portfolio with general factors

Pitera, Marcin, Stettner, Łukasz

Journal:

Mathematical Methods of Operations Research

Year:

2016

Language:

english

File:

PDF, 650 KB

english, 2016

24

On utility maximization in discrete-time financial market models

Rásonyi, Miklós, Stettner, Lukasz

Journal:

The Annals of Applied Probability

Year:

2005

Language:

english

File:

PDF, 196 KB

english, 2005

25

Impulse Control Maximizing Average Cost per Unit Time: A Nonuniformly Ergodic Case

Palczewski, Jan, Stettner, Łukasz

Journal:

SIAM Journal on Control and Optimization

Year:

2017

Language:

english

File:

PDF, 566 KB

english, 2017

26

A note on chaotic and predictable representations for Itô–Markov additive processes

Palmowski, Zbigniew, Stettner, Łukasz, Sulima, Anna

Journal:

Stochastic Analysis and Applications

Year:

2018

Language:

english

File:

PDF, 677 KB

english, 2018

27

Optimal Strategies for Utility from Terminal Wealth with General Bid and Ask Prices

Rogala, Tomasz, Stettner, Lukasz

Journal:

Applied Mathematics & Optimization

Year:

2018

Language:

english

File:

PDF, 628 KB

english, 2018

28

Long Run Control with Degenerate Observation

Stettner, Lukasz

Journal:

SIAM Journal on Control and Optimization

Year:

2019

File:

PDF, 425 KB

2019

29

Optimal Portfolio Selection in an Itô–Markov Additive Market

Palmowski, Zbigniew, Stettner, Łukasz, Sulima, Anna

Journal:

Year:

2019

Language:

english

File:

PDF, 469 KB

english, 2019

30

Long-Run Risk Sensitive Dyadic Impulse Control

Pitera, Marcin, Stettner, Łukasz

Journal:

Applied Mathematics & Optimization

Year:

2019

File:

PDF, 445 KB

2019

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