The following pages link to Tomasz R. Bielecki (Q196872):
Displaying 39 items.
- Optimality of Zero-Inventory Policies for Unreliable Manufacturing Systems (Q3798470) (← links)
- On some problems arising in asymptotic analysis of Markov processes with singularly perturbed generators (Q3810635) (← links)
- Algorithms for singularly perturbed limiting average Markov control problems (Q4021216) (← links)
- Wavelet representations of general signals (Q4238725) (← links)
- (Q4407993) (← links)
- Dependent defaults and credit migrations (Q4425012) (← links)
- Review of Virtual Distortion Method and Its Applications to Fast Redesign and Sensitivity Analysis (Q4484624) (← links)
- Dynamic Hedging of Counterparty Exposure (Q4561926) (← links)
- A Note on Independence Copula for Conditional Markov Chains (Q4604871) (← links)
- Joint densities of hitting times for finite state Markov processes (Q4634119) (← links)
- A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK (Q4645328) (← links)
- (Q4657105) (← links)
- (Q4792521) (← links)
- (Q4792530) (← links)
- The linear-Quadratic Control Problem Revisited (Q4858772) (← links)
- DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES (Q4916239) (← links)
- Counterparty Risk and the Impact of Collateralization in CDS Contracts (Q4925744) (← links)
- TIME-INCONSISTENT MARKOVIAN CONTROL PROBLEMS UNDER MODEL UNCERTAINTY WITH APPLICATION TO THE MEAN-VARIANCE PORTFOLIO SELECTION (Q4990918) (← links)
- Wiener-Hopf factorization for time-inhomogeneous Markov chains and its application (Q4999834) (← links)
- Risk-Sensitive Markov Decision Problems under Model Uncertainty: Finite Time Horizon Case (Q5050078) (← links)
- Wiener-Hopf factorization technique for time-inhomogeneous finite Markov chains (Q5086622) (← links)
- Structured Dependence between Stochastic Processes (Q5110822) (← links)
- (Q5169724) (← links)
- A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time (Q5219305) (← links)
- A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula Perspective (Q5256598) (← links)
- A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part II: Common-Shock Interpretation, Calibration and Hedging Issues (Q5256599) (← links)
- Conditional Markov chains – construction and properties (Q5265532) (← links)
- Modeling of the Defaultable Term Structure: Conditionally Markov Approach (Q5273708) (← links)
- Risk-Sensitive ICAPM With Application to Fixed-Income Management (Q5273713) (← links)
- (Q5297383) (← links)
- COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS (Q5299995) (← links)
- VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL (Q5389101) (← links)
- A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries (Q5419654) (← links)
- Hedging of Credit Derivatives in Models with Totally Unexpected Default (Q5487016) (← links)
- PDE approach to valuation and hedging of credit derivatives (Q5711164) (← links)
- OPTIMAL INVESTMENT DECISIONS FOR A PORTFOLIO WITH A ROLLING HORIZON BOND AND A DISCOUNT BOND (Q5714646) (← links)
- Credit risk: Modelling, valuation and hedging (Q5940704) (← links)
- Risk filtering and risk-averse control of Markovian systems subject to model uncertainty (Q6080762) (← links)
- Multivariate Hawkes processes with simultaneous occurrence of excitation events coming from different sources (Q6115890) (← links)
