Tomasz R. Bielecki

17 papers Journal 14Unranked 2
YearRankTypeTitle / Venue / Authors
2023 J jnl
Risk filtering and risk-averse control of Markovian systems subject to model uncertainty.
Math. Methods Oper. Res.
Tomasz R. Bielecki, Igor Cialenco, Andrzej Ruszczynski
2019 J jnl
Adaptive Robust Control under Model Uncertainty.
SIAM J. Control. Optim.
Tomasz R. Bielecki, Tao Chen, Igor Cialenco, Areski Cousin, Monique Jeanblanc
2018 J jnl
A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time.
Math. Oper. Res.
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera
2015 — ch.
Credit Risk Modeling.
Encyclopedia of Systems and Control
Tomasz R. Bielecki
2015 J jnl
Dynamic Conic Finance via Backward Stochastic Difference Equations.
SIAM J. Financial Math.
Tomasz R. Bielecki, Igor Cialenco, Tao Chen
2015 J jnl
Valuation and Hedging of Contracts with Funding Costs and Collateralization.
SIAM J. Financial Math.
Tomasz R. Bielecki, Marek Rutkowski
2014 J jnl
Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model.
J. Optim. Theory Appl.
Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey, Alexander Herbertsson
2011 J jnl
Hedging of a credit default swaption in the CIR default intensity model.
Finance Stochastics
Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski
2006 — conf
Arbitrage Pricing of Convertible Securities with Credit Risk.
CDC
Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, Marek Rutkowski
2005 J jnl
Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation.
SIAM J. Control. Optim.
Tomasz R. Bielecki, Stanley R. Pliska, Shuenn-Jyi Sheu
2004 J jnl
Modeling of the defaultable term structure: conditionally Markov approach.
IEEE Trans. Autom. Control.
Tomasz R. Bielecki, Marek Rutkowski
2004 J jnl
Risk-sensitive ICAPM with application to fixed-income management.
IEEE Trans. Autom. Control.
Tomasz R. Bielecki, Stanley R. Pliska
2003 — conf
Continuous-time mean-variance portfolio choice with no-bankruptcy constraint.
CDC
Tomasz R. Bielecki, Stanley R. Pliska, Hanqing Jin, Xun Yu Zhou
2000 J jnl
Review of continuous-time Markov chains and applications [Book Review].
IEEE Trans. Autom. Control.
Tomasz R. Bielecki
2000 J jnl
Risk sensitive asset management with transaction costs.
Finance Stochastics
Tomasz R. Bielecki, Stanley R. Pliska
1999 J jnl
Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management.
Math. Methods Oper. Res.
Tomasz R. Bielecki, Daniel Hernández-Hernández, Stanley R. Pliska
1997 J jnl
Hierarchical Decision Making In Stochastic Manufacturing Systems [Book Review].
IEEE Trans. Autom. Control.
Tomasz R. Bielecki