Lukasz Stettner

发表

Risk sensitive portfolio optimization

Lukasz Stettner, L. Stettner, 1999, Math. Methods Oper. Res..

Risk-sensitive portfolio optimization with completely and partially observed factors

Lukasz Stettner, 2004, IEEE Transactions on Automatic Control.

Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon

Lukasz Stettner, Giovanni B. Di Masi, L. Stettner, 1999, SIAM J. Control. Optim..

Long Run Control with Degenerate Observation

Lukasz Stettner, 2019, SIAM J. Control. Optim..

Asymptotics of controlled finite memory filters

Lukasz Stettner, Rostyslav Bodnar, 2002, Syst. Control. Lett..

Penalty Method for Finite Horizon Stopping Problems

Lukasz Stettner, L. Stettner, 2011, SIAM J. Control. Optim..

Ergodicity of hidden Markov models

Lukasz Stettner, Giovanni B. Di Masi, L. Stettner, 2005, Math. Control. Signals Syst..

Growth optimal portfolio under proportional transaction costs with obligatory diversification

Tyrone E. Duncan, Bozenna Pasik-Duncan, Lukasz Stettner, 2008, 2008 47th IEEE Conference on Decision and Control.

Ergodic and adaptive control of hidden Markov models

Tyrone E. Duncan, Bozenna Pasik-Duncan, Lukasz Stettner, 2005, Math. Methods Oper. Res..

Infinite Horizon Risk Sensitive Control of Discrete Time Markov Processes under Minorization Property

Lukasz Stettner, Giovanni B. Di Masi, L. Stettner, 2007, SIAM J. Control. Optim..

Ergodicity of filtering process by vanishing discount approach

Lukasz Stettner, Giovanni B. Di Masi, L. Stettner, 2008, Syst. Control. Lett..

Moment stability for linear systems with a random parametric excitation

Lukasz Stettner, Roman V. Bobryk, 2005, Syst. Control. Lett..

Maximization of the portfolio growth rate under fixed and proportional transaction costs

Lukasz Stettner, Jan Palczewski, L. Stettner, 2007, Commun. Inf. Syst..

Zero-Sum Markov Games with Impulse Controls

Lukasz Stettner, Arnab Basu, L. Stettner, 2020, SIAM J. Control. Optim..

Problems of Mathematical Finance by Stochastic Control Methods

Lukasz Stettner, L. Stettner, 2007, System Modelling and Optimization.

Impulse Control Maximizing Average Cost per Unit Time: A Nonuniformly Ergodic Case

Lukasz Stettner, Jan Palczewski, L. Stettner, 2016, SIAM J. Control. Optim..

Parameter continuity of the ergodic cost for a growth optimal portfolio with proportional transaction costs

Tyrone E. Duncan, Bozenna Pasik-Duncan, Lukasz Stettner, 2008, 2008 47th IEEE Conference on Decision and Control.

Finite Horizon Optimal Stopping of Time-Discontinuous Functionals with Applications to Impulse Control with Delay

Lukasz Stettner, Jan Palczewski, L. Stettner, 2010, SIAM J. Control. Optim..

Average cost per unit time control of discrete time unreliable manufacturing systems with Markov demand

Lukasz Stettner, Krzysztof Lazarski, 1999, Math. Methods Oper. Res..

Long-run risk sensitive dyadic impulse control

Marcin Pitera, Lukasz Stettner, 2019 .

Average cost per unit time control of stochastic manufacturing systems: Revisited

Tyrone E. Duncan, Bozenna Pasik-Duncan, Lukasz Stettner, 2001, Math. Methods Oper. Res..

Long-Run Risk-Sensitive Impulse Control

Marcin Pitera, Lukasz Stettner, Damian Jelito, 2019, SIAM J. Control. Optim..

Long run risk sensitive portfolio with general factors

Marcin Pitera, Lukasz Stettner, L. Stettner, 2015, Math. Methods Oper. Res..

Finite- and Infinite-Horizon Shapley Games with Nonsymmetric Partial Observation

Lukasz Stettner, Arnab Basu, 2015, SIAM J. Control. Optim..

Risk-sensitive optimal stopping with unbounded terminal cost function

Lukasz Stettner, Damian Jelito, L. Stettner, 2021, Electronic Journal of Probability.

Discrete‐time risk sensitive portfolio optimization with proportional transaction costs

Marcin Pitera, Lukasz Stettner, Ł. Stettner, 2022, Mathematical Finance.

IFIP Technical Committee 7: System Modeling and Optimization. A Historical Note

Lukasz Stettner, 2021, IFIP's Exciting First 60+ Years.

On ergodic control of stochastic evolution equations

Tyrone E. Duncan, Bozenna Pasik-Duncan, Lukasz Stettner, 1997 .

ON UTILITY MAXIMIZATION IN DISCRETE-TIME FINANCIAL MARKET MODELS

Miklós Rásonyi, Lukasz Stettner, L. Stettner, 2005 .

Ergodic Control of a Singularly Perturbed Markov Process in Discrete Time with General State and Compact Action Spaces

Tomasz R. Bielecki, Lukasz Stettner, 1998 .

Option Pricing in Discrete-Time Incomplete Market Models

Lukasz Stettner, L. Stettner, 2000 .

On the compactness method in general ergodic impulsive control of markov processes

Dariusz Gatarek, Lukasz Stettner, 1990 .

Mean square stabilization of linear systems by mean zero noise

Lukasz Stettner, Roman V. Bobryk, L. Stettner, 1999 .