Mark H. A. Davis

Publication Activity (10 Years)

Years Active: 1975-2015
Publications (10 Years): 0

Top Topics

Dynamic Programming

Utility Function

Control Strategies

Markov Decision Chains

Top Venues

Publications

Mark H. A. Davis, Sébastien Lleo
Jump-diffusion asset-liability management via risk-sensitive control. OR Spectr. 37 (3) (2015)
Mark H. A. Davis, Xin Guo, Guoliang Wu
Impulse Control of Multidimensional Jump Diffusions. SIAM J. Control. Optim. 48 (8) (2010)
Tomas Björk, Mark H. A. Davis, Camilla Landén
Optimal investment under partial information. Math. Methods Oper. Res. 71 (2) (2010)
Dorje C. Brody, Mark H. A. Davis, Robyn L. Friedman, Lane P. Hughston
Informed Traders CoRR (2008)
Mark H. A. Davis, Vicente Mataix-Pastor
Negative Libor rates in the swap market model. Finance Stochastics 11 (2) (2007)
Mark H. A. Davis, Wei Xing Zheng
A new order estimation technique for time series modeling. IEEE Trans. Autom. Control. 42 (3) (1997)
Mark H. A. Davis
A note on the forward measure. Finance Stochastics 2 (1) (1997)
Mark H. A. Davis, Mihail Zervos
A new proof of the discrete-time LQG optimal control theorems. IEEE Trans. Autom. Control. 40 (8) (1995)
Mark H. A. Davis
Filtering and smoothing: An introduction to martingales, stochastic integrals and estimation: V. Krishnan. Autom. 21 (2) (1985)
Mark H. A. Davis
Capacity and cutoff rate for Poisson-type channels. IEEE Trans. Inf. Theory 26 (6) (1980)
Mark H. A. Davis, E. Andreadakis
Exact and approximate filtering in signal detection: An example (Corresp.). IEEE Trans. Inf. Theory 23 (6) (1977)
C. B. Wan, Mark H. A. Davis
The general point process disorder problem (Corresp.). IEEE Trans. Inf. Theory 23 (4) (1977)
Adrian Segall, Mark H. A. Davis, Thomas Kailath
Nonlinear filtering with counting observations. IEEE Trans. Inf. Theory 21 (2) (1975)