Daniel Hernández-Hernández

Publication Activity (10 Years)

Years Active: 1999-2023
Publications (10 Years): 9

Top Topics

Linear Quadratic

Stochastic Games

Markov Decision Chains

Top Venues

SIAM J. Control. Optim.

J. Optim. Theory Appl.

J. Appl. Probab.

Math. Oper. Res.

Publications

Diego Hernández Bustos, Daniel Hernández-Hernández
Portfolio management under drawdown constraint in discrete-time financial markets. J. Appl. Probab. 60 (1) (2023)
Daniel Hernández-Hernández, Pedro Salazar-Sánchez
Risk-Sensitive LQG Discounted Control Problems and Their Asymptotic Behavior. SIAM J. Control. Optim. 61 (3) (2023)
Daniel Hernández-Hernández, Joshué H. Ricalde-Guerrero
Zero-Sum Stochastic Games with Random Rules of Priority, Discrete Linear-Quadratic Model. Dyn. Games Appl. 12 (4) (2022)
Rolando Cavazos-Cadena, Daniel Hernández-Hernández
The Vanishing Discount Approach in a class of Zero-Sum Finite Games with Risk-Sensitive Average Criterion. SIAM J. Control. Optim. 57 (1) (2019)
Daniel Hernández-Hernández, Mihai Sîrbu
Zero-Sum Stochastic Differential Games Without the Isaacs Condition: Random Rules of Priority and Intermediate Hamiltonians. SIAM J. Control. Optim. 56 (3) (2018)
Daniel Hernández-Hernández, Diego Hernández Bustos
Local Poisson Equations Associated with Discrete-Time Markov Control Processes. J. Optim. Theory Appl. 173 (1) (2017)
Rolando Cavazos-Cadena, Daniel Hernández-Hernández
Local Poisson equations associated with the Varadhan functional. Asymptot. Anal. 96 (1) (2016)
Rolando Cavazos-Cadena, Daniel Hernández-Hernández
A Characterization of the Optimal Certainty Equivalent of the Average Cost via the Arrow-Pratt Sensitivity Function. Math. Oper. Res. 41 (1) (2016)
Daniel Hernández-Hernández, José-Luis Pérez, Kazutoshi Yamazaki
Optimality of Refraction Strategies for Spectrally Negative Lévy Processes. SIAM J. Control. Optim. 54 (3) (2016)
Daniel Hernández-Hernández, Erick Treviño-Aguilar
Characterization of the Value Process in Robust Efficient Hedging. J. Optim. Theory Appl. 161 (1) (2014)
Rolando Cavazos-Cadena, Daniel Hernández-Hernández
Nash equilibria in a class of Markov stopping games. Kybernetika 48 (5) (2012)
Rolando Cavazos-Cadena, Daniel Hernández-Hernández
Discounted Approximations for Risk-Sensitive Average Criteria in Markov Decision Chains with Finite State Space. Math. Oper. Res. 36 (1) (2011)
Rolando Cavazos-Cadena, Daniel Hernández-Hernández
Necessary and sufficient conditions for a solution to the risk-sensitive Poisson equation on a finite state space. Syst. Control. Lett. 58 (4) (2009)
Begoña Fernández, Daniel Hernández-Hernández, Ana Meda, Patricia Saavedra
An optimal investment strategy with maximal risk aversion and its ruin probability. Math. Methods Oper. Res. 68 (1) (2008)
Rolando Cavazos-Cadena, Daniel Hernández-Hernández
A central limit theorem for normalized products of random matrices. Period. Math. Hung. 56 (2) (2008)
Netzahualcoyotl Castañeda-Leyva, Daniel Hernández-Hernández
Optimal Consumption-Investment Problems in Incomplete Markets with Stochastic Coefficients. SIAM J. Control. Optim. 44 (4) (2005)
Netzahualcoyotl Castañeda-Leyva, Daniel Hernández-Hernández
Optimal Consumption-Investment Problems in Incomplete Markets with Random Coefficients. CDC/ECC (2005)
Rolando Cavazos-Cadena, Daniel Hernández-Hernández
A characterization of exponential functionals in finite Markov chains. Math. Methods Oper. Res. 60 (3) (2004)
Rolando Cavazos-Cadena, Daniel Hernández-Hernández
Solution to the risk-sensitive average optimality equation in communicating Markov decision chains with finite state space: An alternative approach. Math. Methods Oper. Res. 56 (3) (2003)
Michelle Boué, Daniel Hernández-Hernández, Richard S. Ellis
Large Deviations for a Random Walk Model with State-Dependent Noise. SIAM J. Control. Optim. 42 (3) (2003)
Wendell H. Fleming, Daniel Hernández-Hernández
An optimal consumption model with stochastic volatility. Finance Stochastics 7 (2) (2003)
Rolando Cavazos-Cadena, Daniel Hernández-Hernández
On a representation of Varadhan's functional as a convex minimization problem. CDC (2002)
Daniel Hernández-Hernández, Steven I. Marcus, Pedram Jaefari Fard
Analysis of a risk-sensitive control problem for hidden Markov chains. IEEE Trans. Autom. Control. 44 (5) (1999)
Tomasz R. Bielecki, Daniel Hernández-Hernández, Stanley R. Pliska
Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management. Math. Methods Oper. Res. 50 (2) (1999)