Stochastic optimization with applications in finance, insurance and engineering; optimal control;
singular stochastic control; optimal stopping; quickest change point detection.
Stochastic process limits for processes with semi-Markov switching; stochastic calculus for fractional Brownian motion; stochastic differential games; estimation techniques for long range dependent processes.
Optimizing Venture Capital Investments in a Jump Diffusion Model, (with Masahiko Egami), to appear in the Mathematical Methods of
Operations Research
[ PDF]
Optimal Time To Change Premiums , (with H. Vincent Poor), to appear in the Mathematical Methods of
Operations Research.[ PDF]
Correspondence between Lifetime Minimum Wealth
and Utility of Consumption, (with Virginia R. Young), Finance and Stochastics , 2007, Volume 11 (2)
213-236. [PDF ]
The effects of implementation delay on decision-making under uncertainty , (with Masahiko Egami),
Stochastic Processes and Their Applications, 2007, Volume 117 (3), 333-358. [ PDF ]
Minimizing the Probability of Lifetime Ruin under Borrowing Constraints, (with Virginia R. Young),
Insurance Mathematics and Economics,, 2007, 41: 196-221 .
[ PDF ]
Quickest Detection of a Minimum of Two Poisson Disorder Times (with H. Vincent Poor),
SIAM Journal on Control and Optimization, 2007, 46 (1), 308-331.
[ PDF ]
Hedging Life Insurance with Pure Endowments , (with V. R. Young),
Insurance Mathematics and Economics , (2007), Volume 40 (3), 435-444. [ PDF ]
Adaptive Poisson Disorder Problem, (with Savas Dayanik and Ioannis Karatzas),
Annals of Applied Probability, 16, no. 3 (2006), 1190-1261.
[ PDF ]
A limit Theorem for Financial Markets with Inert Investors (with Ulrich Horst and Ronnie Sircar),
Mathematics of Operations Research, 2006, Volume 31 (4), 789-810. [ PDF ]
Projecting the Forward Rate Flow onto a Finite Dimensional Manifold, (with H. Vincent Poor and Li Chen), International Journal of
Theoretical and Applied Finance , 2006, Volume 5, 777-785. [ PDF ]
Stochastic Differential Games in a Non-Markovian Setting (with H. Vincent Poor), SIAM Journal on Control
and Optimization, 2005, Volume 43 (5), 1737-1756.
[ PDF ], or [PDF ]
Standard Poisson Disorder Problem Revisited, (with Savas Dayanik and Ioannis Karatzas),
Stochastic Processes and Their Applications, 2005, 115 (9), 1437-1450.
[ PDF ]
Consistency Problems for Jump-Diffusion Models
(with Li Chen and H. Vincent Poor), Applied Mathematical Finance, 2005,
Volume 12 (2), 101-119. [ PDF ]
Arbitrage in Fractal Modulated Markets When the Volatility is Stochastic (with H. Vincent Poor),
International Journal of Theoretical and Applied Finance, Volume 8 (3), 2005. [ PDF ]
Prediction and Tracking of Long Range Dependent Sequences, (with H. Vincent Poor and Raghuveer Rao),
Systems and Control Letters, 2005, 54 (11), 1083-1090
Estimating the Fractal Dimension of the S&P 500 Index Using Wavelet Analysis (with
with H. Vincent Poor and Ronnie Sircar), International Journal of theoretical and Applied Finance, Volume 7 (5),
2004. [ PDF ]
Preprints
Valuation of Mortality Risk via the Instantaneous Sharpe Ratio:
Applications to Life Annuities , (with Moshe Milevsky, David Promislow and Jenny Young) [ PDF]
No Arbitrage Conditions For Simple Trading Strategies, (with Hasanjan Sayit) [ PDF]
Arbitrage Free Models In Markets With Transaction Costs, (with Hasan Sayit) [ PDF]
Analysis of the Optimal Exercise Boundary of American Options for Jump Diffusions, (with Hao Xing) [ PDF]
A Unified Framework for Pricing Credit and Equity Derivatives, (with Bo Yang) [ ArXiv], [PDF]
Sequential Tracking of a Hidden Markov Chain Using Point Process Observations, (with Mike Ludkovski) [ PDF]
Relative Hedging of Systematic Mortality Risk, (with Mike Ludkovski)[ PDF ].
Pricing Asian Options for Jump Diffusions, (with Hao Xing).
[PDF]
On the One-Dimensional Optimal Switching Problem, (with Masahiko Egami).
[PDF]
An Efficient Method for Pricing American Options for Jump Diffusions, (with Hao Xing).
[PDF]
Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin, (with Virginia R. Young).
[PDF]
Minimizing Probability of Ruin and a Game of Stopping and Control, (with Virginia R. Young).
[PDF]
A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions .
[ Arxiv] or [SSRN]
Remarks on the American Put Option for Jump Diffusions.
[ PDF]
Quickest Detection for a Poisson Process with a Phase-type
Change-time Distribution , (with Semih Sezer).
[ PDF] or [ PDF]
Optimal Deferred Life Annuities to Minimize the Probability of
Lifetime Ruin, (with Virginia R. Young). [ PDF ]
A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays, (with Masa Egami).[ PDF ]
Minimizing the Lifetime Shortfall or Shortfall at Death, (with Virginia Young). [ PDF ]
Efficient Estimation of the Hurst Parameter in High Frequency Financial Data with Seasonalities Using Wavelets,
Proceedings of 2003 International Conference on Computational Intelligence for Financial Engineering (CIFEr2003), Hong-Kong, March 21-25, 2003.
Prediction and Tracking of Long Range Dependent Sequences Proceedings of the 38th Annual Conference on Information Sciences and Systems, March 2004, Princeton.
Signal Processing Models for Discrete-Time Self-Similar and Multifractal Processes, Proceedings of the 37th Asilomar Conference on Signals, Systems and Computers, Nov 2003, California.
Quickest Detection of a Minimum of Disorder Times, invited to the 44th IEEE Conference on Decision and Control and
European Control Conference ECC 2005, Seville, December 12-15.
Multi-source Change Detection for Compund Poisson Processes , Proceedings of 43th Annual Allerton Conference on Communication,
Control, and Computing, September 28-30, 2005.