PUBLICATIONS
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Preprints
· Periodic
strategies in optimal execution with multiplicative price impact (with H.
Moreno-Franco and J.L. Pérez).
· A free
model characterization of the asymptotic certainty equivalent by the
Arrow-Pratt index (with E. Treviño-Aguilar).
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Research papers
1.
Variance-optimal martingale
measures for diffusion processes with stochastic coefficients. Set-Valued
and Variational Analysis (2018). DOI: 10.1007/s11228-017-0435-6.
2.
Zero-sum
stochastic differential games without the Isaacs condition: random rules of
priority and intermediate Hamiltonians (with M. Sirbu).
SIAM J. Control Optimization (2018).
3.
Vanishing
discount approximations in controlled Markov chains with risk-sensitive average
criterion (with R. Cavazos-Cadena). Advances in Applied Probability (2018).
4.
Worst case portfolios of
dynamic monetary utility functions (with O.H. Madrid-Padilla). Stochastics (2018). DOI:
10.1080/17442508.2017.1311901.
5.
Mixed strategies for
deterministic differential games (with W.H. Fleming). Comm. Stochastic
Analysis (2017), 11(2), pp.137-156.
6.
Local Poisson equations
associated with discrete-time Markov control processes (with D. Hernández-Bustos). J. Optimization Theory Applications (2017),
173, pp.1-29.
7.
Exact and approximate
Nash equilibria in discounted Markov
stopping games with terminal redemption (with R. Cavazos-Cadena). J.
Mathematical Analysis Applications (2016), 433, pp.
1110--1141.
8.
A characterization of the
optimal average cost via the Arrow-Pratt sensitivity function (with R.
Cavazos Cadena). Mathematics of Operations Research (2016),
41, pp. 224-235.
9.
Optimality of refraction
strategies for spectrally negative Lévy processes
(with J.L. Pérez and K. Yamazaki). SIAM J. Control Optimization (2016),
54, pp. 1126-1156 .
10. Poisson
equations associated with the Varadhan functional (with R. Cavazos-Cadena). Asymptotic
Analysis (2016), 96, pp. 23-50.
11. Games of
singular control and stopping driven by spectrally one-sided Lévy processes (with K. Yamazaki). Stochastic
Processes and their Applications (2015), 125, pp. 1-38.
12. Zero-sum
game between a singular stochastic controller and a discretionary stopper (with
R. S. Simon and M. Zervos). Annals of
Applied Probability. (2015), 12, pp. 45-80.
13. Characterization
of the value process in robust efficient hedging (with
E. Treviño Aguilar). Special volume
on Optimization in Finance of J. Optimization Theory
Applications. (2014), 161, pp. 56-75.
14. Quantile portfolio
optimization under distortion risk measure constraints (with
L. D. Cahuich). Applied Mathematics and
Optimization. (2013), 62, pp. 157-179.
15. Contractive
mappings and existence of cycle times for a monotone and homogeneous function (with
R. Cavazos-Cadena). Nonlinear Analysis.
(2012), 75, pp. 6148-6159.
16. Nash equilibria in a class of Markov stopping games (with
R. Cavazos-Cadena). Kybernetika.
(2012), 48, pp. 1027-1044.
17. Efficient
hedging of European options with robust convex loss functionals:
A dual representation formula (with E. Treviño-Aguilar). Mathematical Finance. (2011),
21, pp. 99-115.
18. Discounted
approximations for risk sensitive average criteria in Markov decision chains
with finite state space (with R. Cavazos-Cadena). Mathematics
of Operations Research. (2011), 36, pp. 133-146.
19. On the
value of stochastic differential games (with W. H. Fleming). Comm.
Stochastic Analysis. (2011), 5, pp. 341-351.
20. Utility
maximization in markets with bid-ask spreads (with
N. Castañeda-Leyva). Stochastics. (2011),
83, pp. 17-43.
21. 19. Poisson
equations associated with a homogeneous and monotone function: necessary and
sufficient conditions for a solution in a weakly convex
case (with R. Cavazos-Cadena). Nonlinear
Analysis. (2010), 72, pp. 3303-3313.
22. Necessary
and sufficient conditions for a solution to the risk sensitive Poisson equation
on a finite state space (with R. Cavazos-Cadena). Systems and Control Letters.(2009), 58, pp. 254-258.
23. A central
limit theorem for normalized products of random matrices (with R. Cavazos-Cadena). Periodica Mathematica Hungarica. (2008), 56,
pp. 183-211.
24. An optimal
investment strategy with maximal risk aversion and its ruin probability (with
B. Fernández, A. Meda,
P. Saavedra). Mathematical Methods of
Operations Research (2008), 68, pp. 159-179.
25. Contactive approximations for the Varadhan’s functional
on a finite Markov chain (with R. Cavazos-Cadena). Theory of Probability and Its
Applications (2008), 52, pp. 315-323.
26. A control
approach to robust utility maximization with log-utility and time consistent
penalties (with A. Schied). Stochastic
Processes and Their Applications (2007), 117, pp. 980-1000.
27. A system of
Poisson equations for a non-constant Varadhan functional
on a finite state space (with R. Cavazos-Cadena). Applied Mathematics and Optimization (2006),
53, pp. 101-119.
28. Robust
utility maximization in stochastic factor model (with
A. Schied). Special volume on Risk
Measures in Statistics and Decisions (2006), 24,
pp. 109-125.
29. A
characterization of the optimal risk-sensitive average cost in finite
controlled Markov chains (with R. Cavazos-Cadena). Annals of Applied Probability (2005),
15, pp. 175-212.
30. On the
tradeoff between consumption and investment in incomplete financial markets (with
W. H. Fleming). Applied Mathematics and Optimization (2005),
52, pp. 219-235
31. Optimal
consumption-investment problems in incomplete markets with stochastic
coefficients (with N. Castañeda-Leyva). SIAM
J. Control and Optimization (2005), 44, pp. 1322-1344.
32. Successive
approximations in partially observable controlled Markov chains with
risk-sensitive average criterion (with R.
Cavazos-Cadena). Stochastics (2005),
77, pp. 537-568.
33. A characterization
of exponential functionals in finite Markov
chains (with R. Cavazos-Cadena). Mathematical
Methods of Operations Research (2004), 60, pp. 399-414.
34. An optimal
consumption model with stochastic volatility (with
W. Fleming). Finance and Stochastics (2003), 2, pp. 245-262.
35. Large
deviations for a random walk model with state dependent noise (with
M. Boué, R. Ellis). SIAM J. Control
& Optimization (2003), 42, pp. 810-838.
36. Optimal
investment in incomplete markets with stochastic volatility (with
N. Castañeda-Leyva). Contemporary
Mathematics AMS (2003) 3365, pp. 119-136.
37. Solution to
the risk sensitive average optimality equation in communicating Markov decision
chains with finite state space: An alternative approach (with R.
Cavazos-Cadena) Mathematical Methods of
Operations Research. (2002), 56, pp. 473-479.
38. Existence
of risk sensitive optimal stationary polices for controlled Markov processes (with
S.I. Marcus) Applied Mathematics Optimization. (1999) 40, pp.
273-285.
39. Analysis of
a risk sensitive control problem for hidden Markov chains (with
S.I. Marcus, P. Frad) IEEE Trans. Autom. Control. (1999) 44, pp. 1093-1100.
40. Risk
sensitive control of finite state machines on an infinite horizon II
(with W. H. Fleming). SIAM J. Control. Optimization (1999) 37, pp.
1048-1069.
41. Risk
sensitive control of finite state machines on an infinite horizon I (with
W. H.Fleming). SIAM J. Control and
Optimization. (1997) 35, pp. 1790-1810.
42. Risk
sensitive control of finite state Markov chains, with applications to portfolio
management (with T. Bielecki,
S. Pliska). Special Volume on Financial
Optimization in Mathematical Methods of Operation Research (1999), 50,
pp. 167-188.
43. Risk
sensitive control of Markov processes in countable state space (with S.I.
Marcus) Systems and Control Letters (1996) 29, pp. 147-155.
44. The linear
programming approach to deterministic optimal control problems (with
O. Hernández-Lerma, M. Taksar). Applicationes Mathematicae (1996)
21, 1, pp. 17-33.
45. Linear
programming and infinite horizon problems of deterministic control theory (with
O. Hernández-Lerma). Boletin Sociedad Matematica Mexicana (1995)
(3) 1, pp. 59-72.
46. Discounted
cost Markov decision processes on Borel spaces:
The linear programming formulation. (with O.
Hernández-Lerma). J. Mathematical Analysis
and Applications. (1994) 183, pp. 335-351.
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Chapters in
books
1.
Characterization of the minimal
penalty of a convex risk measure with applications to robust optimization
for Lévy processes (with L.
Pérez-Hernández), Serie Progress in
Probability, Birkhauser. 2018.
2.
Solution of the HJB equations
involved in utility based pricing (with
S.J. Sheu), XI Symposium
on Probability and Stochastic Processes, Editors: R. Mena, J.C. Pardo, V. Rivero, G. Uribe. Serie Progress in Probability, Birkhauser, pp. 177-198, 2015.
3.
Strategies for differential
games (with W.H. Fleming). In Stochastic
Processes, Finance and Control, Editors: S. Cohen, D. Madan,
K. Siu and H. Yang. Scientific World. pp.
89-104, 2012.
4.
Optimal portfolio management
with consumption (with N. Castañeda Leyva). In Mathematics of Finance,
AMS, Editors: G. Yin and Q. Zhang. pp. 81-91, 2004.
5.
Risk sensitive asset management
with constrained trading strategies (with
T. Bielecki, S. Pliska). In Recent
Developments in Mathematical Finance, J. Yong, Editor.Scientific
World, 2002, pp. 127-138.
6.
An optimal
consumption-investment problem for factor-dependent models (with
W. H.Fleming), in Stochastic Theory and
Control, Lecture Notes in Control and Information Sciences 280,
Springer-Verlag, B. Pasik- Duncan
(Ed), pp. 121-129, 2002.
7.
Partially observed control
problems with multiplicative cost. In Stochastic Analysis, Control,
Optimization and Applications, Birkhauser.
Editors: W.M. McEneaney, G.G. Yin, Q.
Zhang. pp. 41-55, 1999.
8.
Risk sensitive Markov decision
processes (with S.I. Marcus,
E. Fernandez-Gaucherand, S. Coraluppi, P. Fard).
In Systems and Control in the Twenty-First Century.Series: progress in systems and control, Birkhauser. Editors: C.I. Byrnes, B.N. Datta, D.S. Gilliam, C.F. Martin. pp. 263-279,
1999.
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Edited volumes
and books
1.
XII
Symposium in Probability and Stochastic Processes, Serie Progress in Probability, Birkhauser, 2018. With
J.C. Pardo and V. Rivero.
2.
Actuarial Sciences and
Quantitative Finance, Springer Proceedings
in Mathematics and Statistics, 2015. With J. Garrido and
J. Londoño.
3.
Invited editor (with
R. H. Mena) of the Special Volume of the Boletín de
la Sociedad Matemática Mexicana,
for the International Year of Statistics. Vol. 19, No. 2,
2013.
4.
Optimization, Control and
Applications of Stochastic Systems, Birkhauser,
Springer-Verlag. With A. Minjárez-Sosa. 2012.
5.
Proceedings of the X Symposium
on Probability and Stochastic Processes and First Joint Meeting France-Mexico
of Probability, ESAIM Proceedings, 2011,
Volume 31. With M.E. Caballero, L. Chaumont, and V. Rivero.
6. Modelos Estocásticos II, Aportaciones Matemáticas
SMM, 2001. With J.A. López-Mimbela and R. Quezada.