Jack Baczynski

20 papers C 1Journal 8Unranked 11
YearRankTypeTitle / Venue / Authors
2024 J jnl
Exploring non-analytical affine jump-diffusion models for path-dependent interest rate derivatives.
Comput. Manag. Sci.
Allan Jonathan da Silva, Jack Baczynski
2019 — conf
Path-Dependent Interest Rate Option Pricing with Jumps and Stochastic Intensities.
ICCS (5)
Allan Jonathan da Silva, Jack Baczynski, João Felipe da Silva Bragança
2017 J jnl
A new approach to risk sensitivity.
IMA J. Math. Control. Inf.
Jack Baczynski
2017 — conf
A new method for pricing interest-rate derivatives in fixed income markets.
CDC
Jack Baczynski, Juan B. R. Otazu, José V. M. Vicente
2017 — conf
Pricing multi-asset barrier options.
CDC
Estevao Rosalino, Jack Baczynski, Dorival Leão
2016 J jnl
A new finite difference method for pricing and hedging fixed income derivatives: Comparative analysis and the case of an Asian option.
J. Comput. Appl. Math.
Allan Jonathan da Silva, Jack Baczynski, José V. M. Vicente
2012 — conf
A risk sensitive performance index for control problems with a view to Markov jump systems.
CDC
Jack Baczynski
2008 J jnl
Maximal solution to algebraic Riccati equations linked to infinite Markov jump linear systems.
Math. Control. Signals Syst.
Jack Baczynski, Marcelo D. Fragoso
2008 J jnl
Maximal versus strong solution to algebraic Riccati equations arising in infinite Markov jump linear systems.
Syst. Control. Lett.
Jack Baczynski, Marcelo D. Fragoso
2005 — conf
A Note on Convergence in Maximal Solution Problems for Infinite Markov Jump Linear Systems.
CDC/ECC
Jack Baczynski, Marcelo D. Fragoso
2005 J jnl
Optimal linear mean square filter for continuous-time jump linear systems.
IEEE Trans. Autom. Control.
Marcelo D. Fragoso, Oswaldo L. V. Costa, Jack Baczynski, Nei C. S. Rocha
2004 C conf
On existence of maximal solution for infinite dimensional perturbed algebraic Riccati equations associated to Markov jump linear systems.
ACC
Jack Baczynski, Marcelo D. Fragoso
2001 J jnl
On a discrete-time linear jump stochastic dynamic game.
Int. J. Syst. Sci.
Jack Baczynski, Marcelo D. Fragoso, Ernesto P. Lopes
2001 — conf
On an infinite dimensional perturbed Riccati differential equation arising in stochastic control.
ECC
Marcelo D. Fragoso, Jack Baczynski
2001 — conf
On maximal solution to infinite dimensional perturbed Riccati differential equations arising in stochastic control.
CDC
Jack Baczynski, Marcclo D. Fragoso
2001 J jnl
Optimal Control for Continuous-Time Linear Quadratic Problems with Infinite Markov Jump Parameters.
SIAM J. Control. Optim.
Marcelo D. Fragoso, Jack Baczynski
2001 — conf
Some aspects of stability in continuous time linear infinite Markov jump parameter systems.
ECC
Marcelo D. Fragoso, Jack Baczynski
2001 — conf
The minimum linear mean square filter for a class of hybrid systems.
ECC
Marcelo D. Fragoso, Oswaldo L. V. Costa, Jack Baczynski
2000 — conf
H
CDC
Marcelo D. Fragoso, Eulina C. S. Nascimento, Jack Baczynski
2000 — conf
Lyapunov coupled equations for infinite jump linear systems.
CDC
Marcelo D. Fragoso, Jack Baczynski