E-LIB Suche - Ergebnisse für: Bielecki, Tomasz R.

1

Wiener–Hopf factorization for arithmetic Brownian motion wi..:

Bielecki, Tomasz R. ; Cheng, Ziteng ; Gong, Ruoting
Stochastic Processes and their Applications. 156 (2023) - p. 246-290 , 2023

Link: https://doi.org/10.1016/..

2

Risk filtering and risk-averse control of Markovian systems..:

Bielecki, Tomasz R. ; Cialenco, Igor ; Ruszczyński, Andrzej
Mathematical Methods of Operations Research. 98 (2023) 2 - p. 231-268 , 2023

Link: https://doi.org/10.1007/..

3

Construction and Simulation of Generalized Multivariate Haw..:

Bielecki, Tomasz R. ; Jakubowski, Jacek ; Niewęgłowski, Mariusz
Methodology and Computing in Applied Probability. 24 (2022) 4 - p. 2865-2896 , 2022

Link: https://doi.org/10.1007/..

4

Multivariate Hawkes processes with simultaneous occurrence ..:

Bielecki, Tomasz R. ; Jakubowski, Jacek ; Niewęgłowski, Mariusz
Stochastic Models. , 2022

Link: https://doi.org/10.1080/..

5

Risk-Sensitive Markov Decision Problems under Model Uncerta..:

, In: Stochastic Analysis, Filtering, and Stochastic Optimization,

Bielecki, Tomasz R. ; Chen, Tao ; Cialenco, Igor - p. 33-52 , 2022

Link: https://doi.org/10.1007/..

6

Structured dependence between stochastic processes

Encyclopedia of mathematics and its applications ; 175

Bielecki, Tomasz R. ; Jakubowski, Jacek ; Niewęgłowski, Mariusz , 2020

Link: https://doi.org/10.1017/..

7

Fair estimation of capital risk allocation:

Bielecki, Tomasz R. ; Cialenco, Igor ; Pitera, Marcin.
Statistics & Risk Modeling. 37 (2020) 1-2 - p. 1-24 , 2020

Link: https://doi.org/10.1515/..

8

Wiener-Hopf factorization technique for time-inhomogeneous ..:

Bielecki, Tomasz R. ; Cheng, Ziteng ; Cialenco, Igor.
Stochastics. 93 (2020) 1 - p. 130-166 , 2020

Link: https://doi.org/10.1080/..

9

Adaptive Robust Control under Model Uncertainty:

Bielecki, Tomasz R. ; Chen, Tao ; Cialenco, Igor..
SIAM Journal on Control and Optimization. 57 (2019) 2 - p. 925-946 , 2019

Link: https://doi.org/10.1137/..

10

Arbitrage-free pricing of derivatives in nonlinear market m..:

Bielecki, Tomasz R. ; Cialenco, Igor ; Rutkowski, Marek
Probability, Uncertainty and Quantitative Risk. 3 (2018) 1 - p. , 2018

Link: https://doi.org/10.1186/..

11

A Unified Approach to Time Consistency of Dynamic Risk Meas..:

Bielecki, Tomasz R. ; Cialenco, Igor ; Pitera, Marcin
Mathematics of Operations Research. 43 (2018) 1 - p. 204-221 , 2018

Link: https://www.jstor.org/st..

12

A survey of time consistency of dynamic risk measures and d..:

Bielecki, Tomasz R. ; Cialenco, Igor ; Pitera, Marcin
Probability, Uncertainty and Quantitative Risk. 2 (2017) 1 - p. , 2017

Link: https://doi.org/10.1186/..

13

Conditional Markov chains: Properties, construction and str..:

Bielecki, Tomasz R. ; Jakubowski, Jacek ; Niewęgłowski, Mariusz
Stochastic Processes and their Applications. 127 (2017) 4 - p. 1125-1170 , 2017

Link: https://doi.org/10.1016/..

14

Dynamic assessment indices:

Bielecki, Tomasz R. ; Cialenco, Igor ; Drapeau, Samuel.
Stochastics. 88 (2015) 1 - p. 1-44 , 2015

Link: https://doi.org/10.1080/..

15

Dynamic Limit Growth Indices in Discrete Time:

Bielecki, Tomasz R. ; Cialenco, Igor ; Pitera, Marcin
Stochastic Models. 31 (2015) 3 - p. 494-523 , 2015

Link: https://doi.org/10.1080/..