Lukasz Stettner

Publication Activity (10 Years)

Years Active: 1999-2024
Publications (10 Years): 10

Top Topics

Infinite Horizon

Top Venues

SIAM J. Control. Optim.

Syst. Control. Lett.

Math. Methods Oper. Res.

Publications

Pawel Dlotko, Niklas Hellmer, Lukasz Stettner, Rafal Topolnicki
Topology-driven goodness-of-fit tests in arbitrary dimensions. Stat. Comput. 34 (1) (2024)
Lukasz Stettner
Discrete time risk sensitive control problem. Syst. Control. Lett. 186 (2024)
Damian Jelito, Lukasz Stettner
Long-Run Impulse Control with Generalized Discounting. SIAM J. Control. Optim. 62 (2) (2024)
Lukasz Stettner
Certainty equivalent control of discrete time Markov processes with the average reward functional. Syst. Control. Lett. 181 (2023)
Lukasz Stettner
On an Approximation of Average Cost per Unit Time Impulse Control of Markov Processes. SIAM J. Control. Optim. 60 (4) (2022)
Damian Jelito, Marcin Pitera, Lukasz Stettner
Long-Run Risk-Sensitive Impulse Control. SIAM J. Control. Optim. 58 (4) (2020)
Arnab Basu, Lukasz Stettner
Zero-Sum Markov Games with Impulse Controls. SIAM J. Control. Optim. 58 (1) (2020)
Lukasz Stettner
Long Run Control with Degenerate Observation. SIAM J. Control. Optim. 57 (2) (2019)
Jan Palczewski, Lukasz Stettner
Impulse Control Maximizing Average Cost per Unit Time: A Nonuniformly Ergodic Case. SIAM J. Control. Optim. 55 (2) (2017)
Marcin Pitera, Lukasz Stettner
Long run risk sensitive portfolio with general factors. Math. Methods Oper. Res. 83 (2) (2016)
Arnab Basu, Lukasz Stettner
Finite- and Infinite-Horizon Shapley Games with Nonsymmetric Partial Observation. SIAM J. Control. Optim. 53 (6) (2015)
Lukasz Stettner
Penalty Method for Finite Horizon Stopping Problems. SIAM J. Control. Optim. 49 (3) (2011)
Jan Palczewski, Lukasz Stettner
Finite Horizon Optimal Stopping of Time-Discontinuous Functionals with Applications to Impulse Control with Delay. SIAM J. Control. Optim. 48 (8) (2010)
Tyrone E. Duncan, Bozenna Pasik-Duncan, Lukasz Stettner
Growth optimal portfolio under proportional transaction costs with obligatory diversification. CDC (2008)
Giovanni B. Di Masi, Lukasz Stettner
Ergodicity of filtering process by vanishing discount approach. Syst. Control. Lett. 57 (2) (2008)
Tyrone E. Duncan, Bozenna Pasik-Duncan, Lukasz Stettner
Parameter continuity of the ergodic cost for a growth optimal portfolio with proportional transaction costs. CDC (2008)
Giovanni B. Di Masi, Lukasz Stettner
Infinite Horizon Risk Sensitive Control of Discrete Time Markov Processes under Minorization Property. SIAM J. Control. Optim. 46 (1) (2007)
Jan Palczewski, Lukasz Stettner
Maximization of the portfolio growth rate under fixed and proportional transaction costs. Commun. Inf. Syst. 7 (1) (2007)
Lukasz Stettner
Problems of Mathematical Finance by Stochastic Control Methods. System Modelling and Optimization (2007)
Tyrone E. Duncan, Bozenna Pasik-Duncan, Lukasz Stettner
Remarks on risk sensitive adaptive control of Markov processes. CDC (2006)
Tyrone E. Duncan, Bozenna Pasik-Duncan, Lukasz Stettner
Ergodic and adaptive control of hidden Markov models. Math. Methods Oper. Res. 62 (2) (2005)
Giovanni B. Di Masi, Lukasz Stettner
Ergodicity of hidden Markov models. Math. Control. Signals Syst. 17 (4) (2005)
Roman V. Bobryk, Lukasz Stettner
Moment stability for linear systems with a random parametric excitation. Syst. Control. Lett. 54 (8) (2005)
Lukasz Stettner
Risk-sensitive portfolio optimization with completely and partially observed factors. IEEE Trans. Autom. Control. 49 (3) (2004)
Tyrone E. Duncan, Bozenna Pasik-Duncan, Lukasz Stettner
Some results on ergodic and adaptive control of hidden Markov models. CDC (2002)
Rostyslav Bodnar, Lukasz Stettner
Asymptotics of controlled finite memory filters. Syst. Control. Lett. 47 (3) (2002)
Tyrone E. Duncan, Bozenna Pasik-Duncan, Lukasz Stettner
Average cost per unit time control of stochastic manufacturing systems: Revisited. Math. Methods Oper. Res. 54 (2) (2001)
Lukasz Stettner
Risk sensitive portfolio optimization. Math. Methods Oper. Res. 50 (3) (1999)
Krzysztof Lazarski, Lukasz Stettner
Average cost per unit time control of discrete time unreliable manufacturing systems with Markov demand. Math. Methods Oper. Res. 49 (3) (1999)
Giovanni B. Di Masi, Lukasz Stettner
Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon. SIAM J. Control. Optim. 38 (1) (1999)