PUBLICATIONS

Preprints

Contractive mappings  and existence of cycle  times for a monotone and homogeneous function (with R. Cavazos-Cadena).

 

Research papers

  1. On the value of stochastic differential games (with W. H.  Fleming). Comm. Stochastic Analysis. (2011), 5, pp. 341-351.
  2. 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.
  3. Utility maximization in markets with bid-ask spreads (with N. Castañeda-Leyva). Stochastics.  (2011),  83, pp. 17-43.
  4. 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.
  5. 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.
  6. 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.
  7. A central limit theorem for normalized products of random matrices (with R. Cavazos-Cadena). Periodica Mathematica Hungarica. (2008), 56, pp. 183-211.
  8. 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.
  9. 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.
  10. 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.
  11. Robust utility maximization in stochastic factor model (with A. Schied).  Special volume on Risk Measures in Statistics and Decisions (2006), 24, pp., 109-125.
  12. 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.
  13. Successive approximations in partially observable controlled Markov chains with risk-sensitive average criterion (with R. Cavazos-Cadena). Stochastics (2005), 77, pp., 537-568.
  14. On the tradeoff between consumption and investment in incomplete financial markets (with W. H. Fleming). Applied Mathematics and Optimization (2005), 52, pp., 219-235
  15. Optimal consumption-investment problems in incomplete markets with stochastic coefficients (with N. Castañeda-Leyva). SIAM J. Control and Optimization (2005), 44, pp., 1322-1344.
  16. 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.
  17. A characterization of exponential functionals in finite Markov chains (with R. Cavazos-Cadena). Mathematical Methods of Operations Research (2004), 60, PP., 399-414.
  18. Optimal investment in incomplete markets with stochastic volatility (with N. Castañeda-Leyva). Contemporary Mathematics AMS (2003) 3365, pp., 119-136.
  19. 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.
  20. An optimal consumption model with stochastic volatility (with W. Fleming). Finance and Stochastics (2003), 2, pp., 245-262.
  21. 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.
  22. 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.
  23. 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.
  24. 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.
  25. Existence of risk sensitive optimal stationary polices for controlled Markov processes (with S.I. Marcus) Applied Mathematics Optimization. (1999) 40, pp., 273-285.
  26. Risk sensitive control of markov processes in countable state space (with S.I. Marcus) Systems and Control Letters (1996) 29, pp., 147-155.
  27. 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.
  28. The linear programming approach to deterministic optimal control problems (with O. Hernández-Lerma, M. Taksar). Applicationes Mathematicae (1996) 21, 1, pp. 17-33.
  29. Linear Programming and infinite horizon problems of deterministic control theory (with O. Hernández-Lerma). Boletin Sociedad  Matematica Mexicana (1995) (3) 1, pp., 59-72.
  30. 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.

 

Chapters in books

1.      Strategies for differential games ( with W.H. Fleming). In Advances in Statistics, Probability and Actuarial Science,  Editors: S. Cohen and K. Siu. Scientific World. To appear.

  1. Optimal portfolio management with consumption (with N. Castañeda Leyva). In Mathematics of Finance, AMS, Editors: G. Yin and Q. Zhang. pp. 81-91, 2004.
  2. 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.
  3. 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.
  4. 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.
  5. 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.

 

Edited volumes

  1. Modelos Estocásticos II, Aportaciones Matemáticas SMM, 2001.  With J.A. López-Mimbela and R. Quezada.
  2. 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.

Back