Lyapunov coupled equations for infinite jump linear systems. - Marcelo D. Fragoso; Jack Baczynski (CDC, 2000)

H∞ control for continuous-time linear systems with infinite Markov jump parameters via semigroup. - Marcelo D. Fragoso; Eulina C. S. Nascimento; Jack Baczynski (CDC, 2000)

On maximal solution to infinite dimensional perturbed Riccati differential equations arising in stochastic control. - Jack Baczynski; Marcclo D. Fragoso (CDC, 2001)

Some aspects of stability in continuous time linear infinite Markov jump parameter systems. - Marcelo D. Fragoso; Jack Baczynski (ECC, 2001)

On an infinite dimensional perturbed Riccati differential equation arising in stochastic control. - Marcelo D. Fragoso; Jack Baczynski (ECC, 2001)

The minimum linear mean square filter for a class of hybrid systems. - Marcelo D. Fragoso; Oswaldo L. V. Costa; Jack Baczynski (ECC, 2001)

On a discrete-time linear jump stochastic dynamic game. - Jack Baczynski; Marcelo D. Fragoso; Ernesto P. Lopes (Int. J. Syst. Sci., 2001)

Optimal Control for Continuous-Time Linear Quadratic Problems with Infinite Markov Jump Parameters. - Marcelo D. Fragoso; Jack Baczynski (SIAM J. Control. Optim., 2001)

On existence of maximal solution for infinite dimensional perturbed algebraic Riccati equations associated to Markov jump linear systems. - Jack Baczynski; Marcelo D. Fragoso (ACC, 2004)

A Note on Convergence in Maximal Solution Problems for Infinite Markov Jump Linear Systems. - Jack Baczynski; Marcelo D. Fragoso (CDC/ECC, 2005)

Optimal linear mean square filter for continuous-time jump linear systems. - Marcelo D. Fragoso; Oswaldo L. V. Costa; Jack Baczynski; Nei C. S. Rocha (IEEE Trans. Autom. Control., 2005)

Maximal solution to algebraic Riccati equations linked to infinite Markov jump linear systems. - Jack Baczynski; Marcelo D. Fragoso (Math. Control. Signals Syst., 2008)

Maximal versus strong solution to algebraic Riccati equations arising in infinite Markov jump linear systems. - Jack Baczynski; Marcelo D. Fragoso (Syst. Control. Lett., 2008)

A risk sensitive performance index for control problems with a view to Markov jump systems. - Jack Baczynski (CDC, 2012)

A new finite difference method for pricing and hedging fixed income derivatives: Comparative analysis and the case of an Asian option. - Allan Jonathan da Silva; Jack Baczynski; José V. M. Vicente (J. Comput. Appl. Math., 2016)

A new method for pricing interest-rate derivatives in fixed income markets. - Jack Baczynski; Juan B. R. Otazu; José V. M. Vicente (CDC, 2017)

Pricing multi-asset barrier options. - Estevao Rosalino; Jack Baczynski; Dorival Leão (CDC, 2017)

A new approach to risk sensitivity. - Jack Baczynski (IMA J. Math. Control. Inf., 2017)

Path-Dependent Interest Rate Option Pricing with Jumps and Stochastic Intensities. - Allan Jonathan da Silva; Jack Baczynski; João Felipe da Silva Bragança (ICCS (5), 2019)

Exploring non-analytical affine jump-diffusion models for path-dependent interest rate derivatives. - Allan Jonathan da Silva; Jack Baczynski (Comput. Manag. Sci., 2024)