Elsewhere: [math people] [google] [google scholar]

- Quantile hedging for guaranteed minimum death benefits with regime switching. Stochastic Analysis and Applications 2012. 30:799-826 .
- Mean-field Models Involving Continuous-state-dependent Random Switching: Nonnegativity Constraints, Moment Bounds, and Two-time-scale Limits. Taiwanese Journal of Mathematics 2011. 15:1783-1805 .
- Asymptotic Expansions for Solutions of Systems of Kolmogorov Backward Equations of Two-Time-Scale Switching Jump Diffusions. Communications in Statistics: Theory and Methods 2011. 40:3425-3439 .
- Invariance principle of regime-switching diffusions. .
- A stochastic approximation algorithm for American lookback put options. Stochastic Analysis and Applications 2011. 29:332-351 .
- Almost Sure and Complete Convergence of Randomly Weighted Sums of Independent Random Elements in Banach Spaces. Taiwanese Journal of Mathematics 2011. 15:1759-1781 .
- Stochastic algorithms and numerics for mean-reverting asset trading. .
- Asymptotic properties of Markov-modulated random sequences with fast and slow timescales. International Journal of Stochastic Modelling and Applications 2010. 82:445-474 .
- Asymptotic properties of nonlinear autoregressive Markov processes with state-dependent switching. Journal of Multivariate Analysis 2010. 101:1378-1389 .
- Weak convergence of Markov-modulated random sequences. International Journal of Stochastic Modelling and Applications 2010. 82:521-552 .
- Asymptotic properties of a mean-field model with a continuous-state-dependent switching process. Journal of Applied Probability 2009. 46:221-243 .
- Asymptotic properties of a mean-field model with a continuous-state-dependent switching process. Journal of Applied Probability 2009. 46:221-243 .
- Stochastic optimization methods for buying-low-and-selling-high strategies. Stochastic Analysis and Applications 2009. 27:523-542 .
- Stochastic approximation algorithms for parameter estimation in option pricing with regime switching. Stochastic Analysis and Applications 2007. 25:1243-1261 .
- Using stochastic optimization methods for stock selling decision making and option pricing: numerics and bias and variance dependent convergence rates. Communications in Information & Systems 2007. 7:111-132 .
- Selling a large stock position: a stochastic control approach with state constraints. Communications in Information & Systems 2007. 7:93-110 .
- Stability of regime-switching diffusions. Stochastic Processes and their Applications 2007. 117:1037-1051 .
- Stock liquidation via stochastic approximation using NASDAQ daily and intra-day data. Mathematical Finance 2006. 16:217-236 .
- Bounds of ruin probability for regime-switching models using time scale separation. Scandinavian Actuarial Journal 2006. 2006:111-127 .
- Two-time-scale Markov chains and applications to quasi-birth-death queues. SIAM Journal on Applied Mathematics 2005. 65:567-586 .
- Exponential bounds for discrete-time singularly perturbed Markov chains. Journal of Mathematical Analysis and Applications 2004. 293:645-662 .
- Nearly-optimal asset allocation in hybrid stock investment models. Journal of Optimization Theory and Applications 2004. 121:419-444 .
- Correction to ``Countable-state-space Markov chains with two time scales and applications to queueing systems'' (2003V34 p662-688). Advances in Applied Probability 2004. 36:324-324 .
- Correction: Countable-state-space Markov chains with two time scales and applications to queueing systems. Advances in Applied Probability 2004. 36:324-324 .
- Near-optimal controls of discrete-time dynamic systems driven by singularly-perturbed Markov chains. Journal of Optimization Theory and Applications 2003. 116:131-166 .
- Constrained stochastic estimation algorithms for a class of hybrid stock market models. Journal of Optimization Theory and Applications 2003. 118:157-182 .
- Weak convergence of hybrid filtering problems involving nearly completely decomposable hidden Markov chains. SIAM Journal on Control and Optimization 2003. 41:1820-1842 .
- Discrete-time singularly perturbed Markov chains: Aggregation, occupation measures, and switching diffusion limit. Advances in Applied Probability 2003. 35:449-476 .
- Using stochastic approximation algorithms in stock liquidation. .
- Singularly perturbed Markov chains with two small parameters: A matched asymptotic expansion. Journal of Mathematical Analysis and Applications 2002. 267:281-309 .
- Single machine scheduling with randomly compressible processing times. Stochastic Analysis and Applications 2002. 20:591-613 .
- Countable-state-space Markov chains with two time scales and applications to queueing systems. Advances in Applied Probability 2002. 34:662-688 .
- Stochastic approximation: Theory and applications. .
- Nearly optimal control of nonlinear Markovian systems subject to weak and strong interactions. Stochastic Analysis and Applications 2001. 19:361-386 .
- On limit results for a class of singularly perturbed switching diffusions. Journal of Theoretical Probability 2001. 14:673-697 .
- Error bounds for occupation measure of singularly perturbed Markov chains including transient states. Probability in the Engineering and Informational Sciences 2000. 14:511-531 .
- Approximation of an analog diffusion network with applications to image estimation. Journal of Optimization Theory and Applications 2000. 107:391-414 .
- Convergence of a global stochastic optimization algorithm with partial step size restarting. Advances in Applied Probability 2000. 32:480-498 .
- Scheduling problems with random processing times under expected earliness/tardiness costs. Stochastic Analysis and Applications 2000. 18:453-473 .
- Single-machine scheduling with random machine breakdowns and randomly compressible processing times. Stochastic Analysis and Applications 2000. 18:635-653 .
- A class of learning/estimation algorithms using nominal values: Asymptotic analysis and applications. Journal of Optimization Theory and Applications 2000. 105:189-212 .
- Asymptotic properties of a singularly perturbed Markov chain with inclusion of transient states. The Annals of Applied Probability 2000. 10:549-572 .
- Singularly perturbed discrete-time Markov chains. SIAM Journal on Applied Mathematics 2000. 61:834-854 .
- Singularly perturbed Markov chains: Convergence and aggregation. Journal of Multivariate Analysis 2000. 72:208-229 .
- Asymptotic properties of a singularly perturbed Markov chain with inclusion of transient states. The Annals of Applied Probability 2000. 10:549-572 .
- Empirical distribution for linear system identification. Stochastic Analysis and Applications 1999. 17:295-313 .
- Singularly perturbed switching diffusions: Rapid switchings and fast diffusions. Journal of Optimization Theory and Applications 1999. 102:555-591 .
- A numerical study of singularly perturbed Markovian systems. .
- Error bounds for open-loop identification problems. .
- Structural properties of Markov chains with weak and strong interactions. Stochastic Processes and their Applications 1997. 70:181-197 .
- Constructing asymptotic series for probability distributions of Markov chains with weak and strong interactions. Quarterly of Applied Mathematics 1997. 55:177-200 .
- Manufacturing systems: Wear modeling and numerical procedures. Stochastic Analysis and Applications 1997. 15:269-293 .
- Controlled Markov chains with weak and strong interactions: Asymptotic optimality and applications to manufacturing (STMA V39 2105). Journal of Optimization Theory and Applications 1997. 94:169-194 .
- On transition densities of singularly perturbed diffusions with fast and slow components. SIAM Journal on Applied Mathematics 1996. 56:1794-1819 .
- A central limit theorem for singularly perturbed nonstationary finite state Markov chains. The Annals of Applied Probability 1996. 6:650-670 .
- A central limit theorem for singularly perturbed nonstationary finite state Markov chains. The Annals of Applied Probability 1996. 6:650-670 .
- Asymptotic series for singularly perturbed Kolmogorov-Fokker-Planck equations. SIAM Journal on Applied Mathematics 1996. 56:1766-1793 .
- Asymptotic expansions of singularly perturbed systems involving rapidly fluctuating Markov chains (STMA V38 2118). SIAM Journal on Applied Mathematics 1996. 56:277-293 .
- Establishing connections between evolutionary algorithms and stochastic approximation (STMA V38 0268). Informatica (Vilnius) 1995. 6:93-117 .
- On characterization of a recursively defined process: Necessary and sufficient conditions, sensitivity. Stochastics and Stochastics Reports 1995. 52:265-282 .
- On variational inequality approach to Nash dynamic game of oil stockpiling. Stochastic Analysis and Applications 1995. 13:627-649 .
- Near optimality of stochastic control in systems with unknown parameter processes (STMA V36 0871). Applied Mathematics and Optimization 1994. 29:263-284 .
- Asymptotically optimal rate of convergence of smoothed stochastic recursive algorithms. Stochastics and Stochastics Reports 1994. 47:21-46 .
- On convergence of adaptive estimation procedures with time delays. Stochastic Analysis and Applications 1994. 12:505-516 .
- Turnpike sets in stochastic manufacturing systems with finite time horizon. Stochastics and Stochastics Reports 1994. 51:11-40 .
- On convergence of adaptive estimation procedures with time delays. Stochastic Analysis and Applications 1993. 11:483-495 .
- Weak convergence of term structure movements and the connection of prices and interest rates. Stochastic Analysis and Applications 1993. 11:61-76 .
- On $H$-valued stochastic approximation: Finite dimensional projections. Stochastic Analysis and Applications 1992. 10:363-377 .
- On parameter estimation of the DMC models. Stochastic Analysis and Applications 1991. 9:215-232 .
- On extensions of Polyak's averaging approach to stochastic approximation. Stochastics and Stochastics Reports 1991. 36:245-264 .
- A differential delay equation with wideband noise perturbations. Stochastic Processes and their Applications 1990. 35:231-249 .
- A stopping rule for the Robbins-Monro method. Journal of Optimization Theory and Applications 1990. 67:151-173 .
- On $H$-valued Robbins-Monro processes. Journal of Multivariate Analysis 1990. 34:116-140 .
- On operator-valued mixingales. Stochastic Analysis and Applications 1989. 7:355-366 .
- On w.p.1 convergence of a parallel stochastic approximation algorithm. Probability in the Engineering and Informational Sciences 1989. 3:55-75 .
- A stopping rule for least-squares identification. IEEE Transactions on Automatic Control 1989. 34:659-662 .
- Asymptotic properties of distributed and communicating stochastic approximation algorithms. SIAM Journal on Control and Optimization 1987. 25:1266-1290 .
- Stochastic approximation algorithms for parallel and distributed processing. Stochastics and Stochastics Reports 1987. 22:219-250 .