Tomasz R. Bielecki

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

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2019

Adaptive Robust Control under Model Uncertainty.

Tomasz R. Bielecki, Tao Chen, Igor Cialenco, Areski Cousin, Monique Jeanblanc

SIAM J. Control. Optim., 2019

2018

A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time.

Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera

Math. Oper. Res., 2018

2015

Credit Risk Modeling.

Tomasz R. Bielecki

Proceedings of the Encyclopedia of Systems and Control, 2015

Valuation and Hedging of Contracts with Funding Costs and Collateralization.

Tomasz R. Bielecki, Marek Rutkowski

SIAM J. Financial Math., 2015

Dynamic Conic Finance via Backward Stochastic Difference Equations.

Tomasz R. Bielecki, Igor Cialenco, Tao Chen

SIAM J. Financial Math., 2015

2014

Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model.

Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey, Alexander Herbertsson

J. Optim. Theory Appl., 2014

2011

Hedging of a credit default swaption in the CIR default intensity model.

Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski

Finance Stochastics, 2011

2006

Arbitrage Pricing of Convertible Securities with Credit Risk.

Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, Marek Rutkowski

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.

Tomasz R. Bielecki, Stanley R. Pliska, Shuenn-Jyi Sheu

SIAM J. Control. Optim., 2005

2004

Modeling of the defaultable term structure: conditionally Markov approach.

Tomasz R. Bielecki, Marek Rutkowski

IEEE Trans. Autom. Control., 2004

Risk-sensitive ICAPM with application to fixed-income management.

Tomasz R. Bielecki, Stanley R. Pliska

IEEE Trans. Autom. Control., 2004

2000

Review of continuous-time Markov chains and applications [Book Review].

Tomasz R. Bielecki

IEEE Trans. Autom. Control., 2000

Risk sensitive asset management with transaction costs.

Tomasz R. Bielecki, Stanley R. Pliska

Finance Stochastics, 2000

1999

Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management.

Tomasz R. Bielecki, Daniel Hernández-Hernández, Stanley R. Pliska

Math. Methods Oper. Res., 1999