D. Hernández-Hernández

发表

Existence of Risk-Sensitive Optimal Stationary Policies for Controlled Markov Processes

S. Marcus, D. Hernández-Hernández, Daniel Hernández-Hernández, 1999 .

Risk sensitive control of Markov processes in countable state space

S. Marcus, D. Hernández-Hernández, 1996 .

Risk-Sensitive Control of Finite State Machines on an Infinite Horizon I

W. Fleming, D. Hernández-Hernández, 1997 .

Risk Sensitive Markov Decision Processes

Daniel Hernández-Hernández, Steven I. Marcus, E. Fernandez-Gaucherand, 1997 .

An optimal investment strategy with maximal risk aversion and its ruin probability

Daniel Hernández-Hernández, Begoña Fernández, Patricia Saavedra, 2008, Math. Methods Oper. Res..

Risk sensitive control of finite state machines on an infinite horizon. I

W. Fleming, D. Hernández-Hernández, 1997, Proceedings of the 36th IEEE Conference on Decision and Control.

Analysis of a risk-sensitive control problem for hidden Markov chains

Daniel Hernández-Hernández, Steven I. Marcus, Pedram Jaefari Fard, 1999, IEEE Trans. Autom. Control..

THE LINEAR PROGRAMMING APPROACH TO DETERMINISTIC OPTIMAL CONTROL PROBLEMS

O. Hernández-Lerma, D. Hernández-Hernández, M. Taksar, 1996 .

Discounted Cost Markov Decision Processes on Borel Spaces: The Linear Programming Formulation

O. Hernández-Lerma, D. Hernández-Hernández, 1994 .

Vanishing discount approximations in controlled Markov chains with risk-sensitive average criterion

D. Hernández-Hernández, R. Cavazos-Cadena, 2017, Advances in Applied Probability.

On a representation of Varadhan's functional as a convex minimization problem

D. Hernández-Hernández, R. Cavazos-Cadena, 2002, Proceedings of the 41st IEEE Conference on Decision and Control, 2002..

Partially Observed Control Problems with Multiplicative Cost

D. Hernández-Hernández, 1999 .

A characterization of the optimal risk-sensitive average cost in finite controlled Markov chains

D. Hernández-Hernández, R. Cavazos-Cadena, 2005, math/0503478.

A System of Poisson Equations for a Nonconstant Varadhan Functional on a Finite State Space

D. Hernández-Hernández, R. Cavazos-Cadena, 2006 .

Robust utility maximization in a stochastic factor model

D. Hernández-Hernández, A. Schied, 2006 .

A control approach to robust utility maximization with logarithmic utility and time-consistent penalties

D. Hernández-Hernández, A. Schied, 2007 .

Solution of the HJB Equations Involved in Utility-Based Pricing

S. Sheu, D. Hernández-Hernández, 2015 .

Variance-Optimal Martingale Measures for Diffusion Processes with Stochastic Coefficients

D. Hernández-Hernández, 2018 .

EXISTENCE AND UNIQUENESS TO THE CAUCHY PROBLEM FOR LINEAR AND SEMILINEAR PARABOLIC EQUATIONS WITH LOCAL CONDITIONS

D. Hernández-Hernández, L. Chaumont, 2011 .

On the value of stochastic differential games

W. Fleming, D. Hernández-Hernández, 2011 .

SFB 649 Discussion Paper 2007-030 Robust Maximization of Consumption with Logarithmic Utility

D. Hernández-Hernández, A. Schied, 2007 .

Optimal Consumption-Investment Problems in Incomplete Markets with Stochastic Coefficients

Netzahualcoyotl Castañeda-Leyva, Daniel Hernández-Hernández, D. Hernández-Hernández, 2005, SIAM J. Control. Optim..

A zero-sum game between a singular stochastic controller and a discretionary stopper

D. Hernández-Hernández, R. Simon, M. Zervos, 2012, 1212.2074.

Contractive approximations for the Varadhan's function on a finite Markov chain@@@Contractive approximations for the Varadhan's function on a finite Markov chain

D. Hernández-Hernández, R. Cavazos-Cadena, 2007 .

Mixed Strategies for Deterministic Differential Games

W. Fleming, D. Hernández-Hernández, 2017 .

Games of singular control and stopping driven by spectrally one-sided Lévy processes

D. Hernández-Hernández, K. Yamazaki, 2013, 1308.3141.

Utility maximization in markets with bid–ask spreads

D. Hernández-Hernández, Netzahualcóyotl Castañeda-Leyva, 2011 .

Risk Sensitive Asset Management With Constrained Trading Strategies

Daniel Hernández-Hernández, Tomasz R. Bielecki, Stanley R. Pliska, 2001 .

On the minimax theorem for the space of probability measures on metric spaces

D. Hernández-Hernández, J. Villa‐Morales, 2020, Banach Center Publications.

Exact and approximate Nash equilibria in discounted Markov stopping games with terminal redemption

D. Hernández-Hernández, R. Cavazos-Cadena, 2016 .

A Free-Model Characterization of the Asymptotic Certainty Equivalent by the Arrow-Pratt Index

D. Hernández-Hernández, Erick Treviño-Aguilar, 2019, Modeling, Stochastic Control, Optimization, and Applications.

A characterization of the optimal risk-sensitive average cost in finite controlled Markov chains

D. Hernández-Hernández, R. Cavazos-Cadena, 2005, math/0503478.

EFFICIENT HEDGING OF EUROPEAN OPTIONS WITH ROBUST CONVEX LOSS FUNCTIONALS: A DUAL‐REPRESENTATION FORMULA

D. Hernández-Hernández, Erick Treviño-Aguilar, 2010 .

An Optimal Consumption-Investment Problem for Factor-Dependent Models

W. Fleming, D. Hernández-Hernández, 2002 .

Robust Utility Maximization in a

Daniel Hernández-Hernández, Alexander Schied, D. Hernández-Hernández, 2006 .

Optimization, Control, and Applications of Stochastic Systems

Daniel Hernández-Hernández, J. Adolfo Minjárez-Sosa, D. Hernández-Hernández, 2012 .

Strategies for differential games

Daniel Hernández-Hernández, Wendell H. Fleming, W. Fleming, 2012 .

Quantile Portfolio Optimization Under Risk Measure Constraints

D. Hernández-Hernández, Luis D. Cahuich, 2013, Applied Mathematics & Optimization.

Characterization of the Value Process in Robust Efficient Hedging

D. Hernández-Hernández, Erick Treviño-Aguilar, 2012, Journal of Optimization Theory and Applications.

Portfolio management under drawdown constraint in discrete-time financial markets

Diego Hernández Bustos, D. Hernández-Hernández, Diego Hernández-Bustos, 2022, Journal of Applied Probability.

A Characterization of the Optimal Certainty Equivalent of the Average Cost via the Arrow-Pratt Sensitivity Function

Daniel Hernández-Hernández, Rolando Cavazos-Cadena, D. Hernández-Hernández, 2016, Math. Oper. Res..

Successive approximations in partially observable controlled Markov chains with risk-sensitive average criterion

Daniel Hernández-Hernández, Rolando Cavazos-Cadena, D. Hernández-Hernández, 2005 .

Large Deviations for a Random Walk Model with State-Dependent Noise

Daniel Hernández-Hernández, Richard S. Ellis, Michelle Boué, 2003, SIAM J. Control. Optim..

RANDOM WALKS AND TREES

D. Hernández-Hernández, L. Chaumont, Ma Emilia Caballero, 2011 .

Quantile Portfolio Optimization Under Risk Measure Constraints

D. Hernández-Hernández, Luis D. Cahuich, 2013 .

Zero-Sum Stochastic Games with Random Rules of Priority, Discrete Linear-Quadratic Model

D. Hernández-Hernández, Joshué H. Ricalde-Guerrero, 2022, Dynamic Games and Applications.

BOUNDS OF RUIN PROBABILITIES FOR INSURANCE COMPANIES IN THE PRESENCE OF STOCHASTIC VOLATILITY ON INVESTMENTS

D. Hernández-Hernández, L. Chaumont, 2011 .

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

Daniel Hernández-Hernández, Tomasz R. Bielecki, Stanley R. Pliska, 1999, Math. Methods Oper. Res..

Discounted Approximations for Risk-Sensitive Average Criteria in Markov Decision Chains with Finite State Space

Daniel Hernández-Hernández, Rolando Cavazos-Cadena, D. Hernández-Hernández, 2011, Math. Oper. Res..

On the relation between risk sensitive control and indifference pricing

D. Hernandez-Hernandez, D. Hernández-Hernández, 2008, 2008 American Control Conference.

A characterization of exponential functionals in finite Markov chains

Daniel Hernández-Hernández, Rolando Cavazos-Cadena, D. Hernández-Hernández, 2004, Math. Methods Oper. Res..

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

S. Pliska, D. Hernández-Hernández, T. Bielecki, 1999, Math. Methods Oper. Res..

Solution to the risk-sensitive average optimality equation in communicating Markov decision chains with finite state space: An alternative approach

Daniel Hernández-Hernández, Rolando Cavazos-Cadena, D. Hernández-Hernández, 2003, Math. Methods Oper. Res..

Un Modelo De Creación De Mercado Con Trading De Alta Frecuencia (A Model of Market Creation with High Frequency Trading)

D. Hernández-Hernández, Katherine Sánchez Casas, 2016 .

An optimal consumption model with stochastic volatility

Daniel Hernández-Hernández, Wendell H. Fleming, W. Fleming, 2003, Finance Stochastics.

Contractive mappings and existence of cycle times for a monotone and homogeneous function

D. Hernández-Hernández, R. Cavazos-Cadena, 2012 .

Poisson equations associated with a homogeneous and monotone function: Necessary and sufficient conditions for a solution in a weakly convex case☆

D. Hernández-Hernández, R. Cavazos-Cadena, 2010 .

Robust maximization of consumption with logarithmic utility

D. Hernandez-Hernandez, A. Schied, D. Hernández-Hernández, 2007, 2007 American Control Conference.