Tak Kuen Siu
Orcid: 0000000328235138
According to our database^{1},
Tak Kuen Siu
authored at least 52 papers
between 2007 and 2024.
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Bibliography
2024
Ann. Oper. Res., May, 2024
2021
Math. Methods Oper. Res., 2021
2020
Expert Syst. Appl., 2020
Singular dividend optimization for a linear diffusion model with timeinconsistent preferences.
Eur. J. Oper. Res., 2020
2019
A martingale approach for asset allocation with derivative security and hidden economic risk.
J. Appl. Probab., 2019
Appl. Math. Comput., 2019
2017
Risk Decis. Anal., 2017
OR Spectr., 2017
J. Comput. Appl. Math., 2017
2016
J. Comput. Appl. Math., 2016
Eur. J. Oper. Res., 2016
Optimal portfolios with maximum ValueatRisk constraint under a hidden Markovian regimeswitching model.
Autom., 2016
2015
Backward stochastic difference equations for dynamic convex risk measures on a binomial tree.
J. Appl. Probab., 2015
2014
Oper. Res. Lett., 2014
J. Oper. Res. Soc., 2014
J. Comput. Appl. Math., 2014
Expert Syst. Appl., 2014
Filtering and change point estimation for hidden Markovmodulated Poisson processes.
Appl. Math. Lett., 2014
2013
IEEE Trans. Autom. Control., 2013
Risk Decis. Anal., 2013
Pricing variance swaps under a stochastic interest rate and volatility model with regimeswitching.
Oper. Res. Lett., 2013
Math. Comput. Model., 2013
Inf. Sci., 2013
A stochastic maximum principle for backward control systems with random default time.
Int. J. Control, 2013
Option valuation under a regimeswitching constant elasticity of variance process.
Appl. Math. Comput., 2013
2012
A Stochastic Maximum Principle for a Markov RegimeSwitching JumpDiffusion Model and Its Application to Finance.
SIAM J. Control. Optim., 2012
Markovian forwardbackward stochastic differential equations and stochastic flows.
Syst. Control. Lett., 2012
A decomposition method for optimal portfolios with regimeswitching and risk constraint.
Risk Decis. Anal., 2012
Stochastic differential portfolio games for an insurer in a jumpdiffusion risk process.
Math. Methods Oper. Res., 2012
Math. Comput. Model., 2012
A BSDE approach to riskbased asset allocation of pension funds with regime switching.
Ann. Oper. Res., 2012
Proceedings of the Fifth International Joint Conference on Computational Sciences and Optimization, 2012
Proceedings of the Fifth International Conference on Business Intelligence and Financial Engineering, 2012
2011
SIAM J. Control. Optim., 2011
Syst. Control. Lett., 2011
Int. J. Intell. Eng. Informatics, 2011
Expert Syst. Appl., 2011
Comput. Math. Appl., 2011
Comput. Math. Appl., 2011
Autom., 2011
Appl. Math. Comput., 2011
2010
IEEE Trans. Autom. Control., 2010
SIAM J. Control. Optim., 2010
Int. J. Intell. Eng. Informatics, 2010
Autom., 2010
On risk minimizing portfolios under a Markovian regimeswitching BlackScholes economy.
Ann. Oper. Res., 2010
Bond pricing under a Markovian regimeswitching jumpaugmented Vasicek model via stochastic flows.
Appl. Math. Comput., 2010
2009
Comput. Math. Appl., 2009
Proceedings of the International Symposium on Circuits and Systems (ISCAS 2009), 2009
2008
A Markovian regimeswitching stochastic differential game for portfolio risk minimization.
Proceedings of the American Control Conference, 2008
2007
Adv. Decis. Sci., 2007
Proceedings of the American Control Conference, 2007