Michael I. Taksar

According to our database1, Michael I. Taksar authored at least 29 papers between 1983 and 2010.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

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PhD thesis 
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Bibliography

2010
Optimal excess-of-loss reinsurance under borrowing constraints.
Risk Decis. Anal., 2010

Excess-of-loss reinsurance under taxes and fixed costs.
Risk Decis. Anal., 2010

2009
On Maximizing CRRA Utility in Regime Switching Markets with Random Endowment.
SIAM J. Control. Optim., 2009

2007
Optimal Terminal Wealth Under Partial Information: Both the Drift and the Volatility Driven by a Discrete-Time Markov Chain.
SIAM J. Control. Optim., 2007

2006
Ruin Probability Minimization and Dividend Distribution Optimization in Diffusion Models.
Proceedings of the 45th IEEE Conference on Decision and Control, 2006

2003
A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control.
SIAM J. Control. Optim., 2003

Optimal dynamic reinsurance policies for large insurance portfolios.
Finance Stochastics, 2003

2002
Dynkin Games via Dirichlet Forms and Singular Control of One-Dimensional Diffusions.
SIAM J. Control. Optim., 2002

Equilibrium States of Random Economies with Locally Interacting Agents and Solutions to Stochastic Variational Inequalities in (L<sub>1</sub>, L<sub>∞</sub>).
Ann. Oper. Res., 2002

2001
Convex stochastic optimization for random fields on graphs: A method of constructing Lagrange multipliers.
Math. Methods Oper. Res., 2001

Optimal risk control for a large corporation in the presence of returns on investments.
Finance Stochastics, 2001

2000
Optimal risk and dividend distribution control models for an insurance company.
Math. Methods Oper. Res., 2000

Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation.
Finance Stochastics, 2000

Optimal Production and Setup Scheduling: A One-Machine, Two-Product System.
Ann. Oper. Res., 2000

Dependence of the Optimal Risk Control Decisions on the Terminal Value for a Financial Corporation.
Ann. Oper. Res., 2000

1998
A Dynamic Stochastic Stock-Cutting Problem.
Oper. Res., 1998

Optimal Production Planning in a Multi-Product Stochastic Manufacturing System with Long-Run Average Cost.
Discret. Event Dyn. Syst., 1998

1996
Book review.
Discret. Event Dyn. Syst., 1996

1995
Diffusion Approximation for a Controlled Stochastic Manufacturing System with Average Cost Minimization.
Math. Oper. Res., 1995

1994
Double Band Policy for Stochastic Manufacturing Systems in Heavy Traffic.
Math. Oper. Res., 1994

A Heavy-Traffic Limit for the Cycle Counting Process in G/G/1, Optional Interruptions and Elastic Screen Brownian Motion.
Math. Oper. Res., 1994

1992
Diffusion approximation for<i>GI/G</i>/1 controlled queues.
Queueing Syst. Theory Appl., 1992

Singular ergodic control for multidimensional Gaussian processes.
Math. Control. Signals Syst., 1992

1991
An Asymptotic Analysis of Hierarchical Control of Manufacturing Systems Under Uncertainty.
Math. Oper. Res., 1991

1989
Optimal correction problem of a multidimensional stochastic system.
Autom., 1989

1988
A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees.
Math. Oper. Res., 1988

1985
Average Optimal Singular Control and a Related Stopping Problem.
Math. Oper. Res., 1985

Regenerative Analysis and Steady State Distributions for Markov Chains.
Oper. Res., 1985

1983
Instantaneous Control of Brownian Motion.
Math. Oper. Res., 1983


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