Tomasz R. Bielecki

Publication Activity (10 Years)

Years Active: 1997-2023
Publications (10 Years): 3

Top Topics

Control Strategies

Difference Equations

Top Venues

SIAM J. Financial Math.

J. Optim. Theory Appl.

Math. Oper. Res.

Math. Methods Oper. Res.

Publications

Tomasz R. Bielecki, Igor Cialenco, Andrzej Ruszczynski
Risk filtering and risk-averse control of Markovian systems subject to model uncertainty. Math. Methods Oper. Res. 98 (2) (2023)
Tomasz R. Bielecki, Tao Chen, Igor Cialenco, Areski Cousin, Monique Jeanblanc
Adaptive Robust Control under Model Uncertainty. SIAM J. Control. Optim. 57 (2) (2019)
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera
A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time. Math. Oper. Res. 43 (1) (2018)
Tomasz R. Bielecki, Igor Cialenco, Tao Chen
Dynamic Conic Finance via Backward Stochastic Difference Equations. SIAM J. Financial Math. 6 (1) (2015)
Tomasz R. Bielecki, Marek Rutkowski
Valuation and Hedging of Contracts with Funding Costs and Collateralization. SIAM J. Financial Math. 6 (1) (2015)
Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey, Alexander Herbertsson
Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model. J. Optim. Theory Appl. 161 (1) (2014)
Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski
Hedging of a credit default swaption in the CIR default intensity model. Finance Stochastics 15 (3) (2011)
Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, Marek Rutkowski
Arbitrage Pricing of Convertible Securities with Credit Risk. CDC (2006)
Tomasz R. Bielecki, Stanley R. Pliska, Shuenn-Jyi Sheu
Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation. SIAM J. Control. Optim. 44 (5) (2005)
Tomasz R. Bielecki, Stanley R. Pliska
Risk-sensitive ICAPM with application to fixed-income management. IEEE Trans. Autom. Control. 49 (3) (2004)
Tomasz R. Bielecki, Marek Rutkowski
Modeling of the defaultable term structure: conditionally Markov approach. IEEE Trans. Autom. Control. 49 (3) (2004)
Tomasz R. Bielecki, Stanley R. Pliska, Hanqing Jin, Xun Yu Zhou
Continuous-time mean-variance portfolio choice with no-bankruptcy constraint. CDC (2003)
Tomasz R. Bielecki
Review of continuous-time Markov chains and applications [Book Review]. IEEE Trans. Autom. Control. 45 (3) (2000)
Tomasz R. Bielecki, Stanley R. Pliska
Risk sensitive asset management with transaction costs. Finance Stochastics 4 (1) (2000)
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)
Tomasz R. Bielecki
Hierarchical Decision Making In Stochastic Manufacturing Systems [Book Review]. IEEE Trans. Autom. Control. 42 (6) (1997)