Tomasz R. Bielecki

According to our database1, Tomasz R. Bielecki authored at least 14 papers between 1999 and 2019.

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

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Other 

Links

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Bibliography

2019
Adaptive Robust Control under Model Uncertainty.
SIAM J. Control. Optim., 2019

2018
A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time.
Math. Oper. Res., 2018

2015
Credit Risk Modeling.
Proceedings of the Encyclopedia of Systems and Control, 2015

Valuation and Hedging of Contracts with Funding Costs and Collateralization.
SIAM J. Financial Math., 2015

Dynamic Conic Finance via Backward Stochastic Difference Equations.
SIAM J. Financial Math., 2015

2014
Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model.
J. Optim. Theory Appl., 2014

2011
Hedging of a credit default swaption in the CIR default intensity model.
Finance Stochastics, 2011

2006
Arbitrage Pricing of Convertible Securities with Credit Risk.
Proceedings of the 45th IEEE Conference on Decision and Control, 2006

2005
Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation.
SIAM J. Control. Optim., 2005

2004
Modeling of the defaultable term structure: conditionally Markov approach.
IEEE Trans. Autom. Control., 2004

Risk-sensitive ICAPM with application to fixed-income management.
IEEE Trans. Autom. Control., 2004

2000
Review of continuous-time Markov chains and applications [Book Review].
IEEE Trans. Autom. Control., 2000

Risk sensitive asset management with transaction costs.
Finance Stochastics, 2000

1999
Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management.
Math. Methods Oper. Res., 1999


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