Lukasz Stettner

SIAM J. Control. Optim., 2024

2023

Certainty equivalent control of discrete time Markov processes with the average reward functional.

[BibT_eX]

[DOI]

Syst. Control. Lett., November, 2023

2022

On an Approximation of Average Cost per Unit Time Impulse Control of Markov Processes.

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2022

2021

IFIP Technical Committee 7: System Modeling and Optimization. A Historical Note.

[BibT_eX]

[DOI]

Proceedings of the Advancing Research in Information and Communication Technology, 2021

2020

Long-Run Risk-Sensitive Impulse Control.

[BibT_eX]

[DOI]

Damian Jelito

Marcin Pitera

SIAM J. Control. Optim., 2020

Zero-Sum Markov Games with Impulse Controls.

[BibT_eX]

[DOI]

Arnab Basu

SIAM J. Control. Optim., 2020

2019

Long Run Control with Degenerate Observation.

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2019

2017

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

[BibT_eX]

[DOI]

Jan Palczewski

SIAM J. Control. Optim., 2017

2016

Long run risk sensitive portfolio with general factors.

[BibT_eX]

[DOI]

Marcin Pitera

Math. Methods Oper. Res., 2016

2015

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

[BibT_eX]

[DOI]

Arnab Basu

SIAM J. Control. Optim., 2015

2011

Penalty Method for Finite Horizon Stopping Problems.

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2011

2010

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

[BibT_eX]

[DOI]

Jan Palczewski

SIAM J. Control. Optim., 2010

2008

Ergodicity of filtering process by vanishing discount approach.

[BibT_eX]

[DOI]

Syst. Control. Lett., 2008

Growth optimal portfolio under proportional transaction costs with obligatory diversification.

[BibT_eX]

[DOI]

Proceedings of the 47th IEEE Conference on Decision and Control, 2008

Parameter continuity of the ergodic cost for a growth optimal portfolio with proportional transaction costs.

[BibT_eX]

[DOI]

Proceedings of the 47th IEEE Conference on Decision and Control, 2008

2007

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

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2007

Maximization of the portfolio growth rate under fixed and proportional transaction costs.

[BibT_eX]

[DOI]

Jan Palczewski

Commun. Inf. Syst., 2007

Problems of Mathematical Finance by Stochastic Control Methods.

[BibT_eX]

[DOI]

Proceedings of the System Modeling and Optimization, 2007

2006

Remarks on risk sensitive adaptive control of Markov processes.

[BibT_eX]

[DOI]

Proceedings of the 45th IEEE Conference on Decision and Control, 2006

2005

Moment stability for linear systems with a random parametric excitation.

[BibT_eX]

[DOI]

Roman V. Bobryk

Syst. Control. Lett., 2005

Ergodic and adaptive control of hidden Markov models.

[BibT_eX]

[DOI]

Math. Methods Oper. Res., 2005

Ergodicity of hidden Markov models.

[BibT_eX]

[DOI]

Math. Control. Signals Syst., 2005

2004

Risk-sensitive portfolio optimization with completely and partially observed factors.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 2004

2002

Asymptotics of controlled finite memory filters.

[BibT_eX]

[DOI]

Rostyslav Bodnar

Syst. Control. Lett., 2002

Some results on ergodic and adaptive control of hidden Markov models.

[BibT_eX]

[DOI]

Proceedings of the 41st IEEE Conference on Decision and Control, 2002

2001

Average cost per unit time control of stochastic manufacturing systems: Revisited.

[BibT_eX]

[DOI]

Math. Methods Oper. Res., 2001

1999

Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon.

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 1999

Risk sensitive portfolio optimization.

[BibT_eX]

[DOI]

Math. Methods Oper. Res., 1999

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

[BibT_eX]

[DOI]

Krzysztof Lazarski