R.M. COX:    Stationary and Discounted Control of Diffusion Processes, September 1984.

F.M. BALDURSSON:    Topics in Singular Stochastic Control and Optimal Stopping, April 1985.

P. LAKNER:    Consumption/Investment and Equilibrium in the Presence of Several Commodities, February 1989.

X.X. XUE:    Martingale Representation Results for Levy Processes with Applications, May 1991.

J. CVITANIC:    Convex Duality Methods for Constrained Stochastic Optimization, May 1992.

A. CADENILLAS:    Contributions to the Stochastic Version of Pontryagin's Maximum Principle, May 1992.

S.G. KOU :    Pricing Contingent Claims under Constraints, May 1995.

I. PIKOVSKY:    Anticipative Stochastic Analysis and Control, May 1995.

X. ZHAO :    Bayesian Adaptive Portfolio Optimization, December 1998.

C. HOU :    Some Approximation Issues in the Mathematics of Finance, February 2000.

H. WANG :    Topics in Stochastic Control with Discretionary Stopping, April 2000.

K. KAMIZONO:    Partial Hedging under Proportional Transaction Costs, May 2001.

S. DAYANIK:    Contributions to the Theory of Optimal Stopping for One-Dimensional Diffusions, April 2002. Winner of the 2002 George E. Nicholson Student Paper Competition.

G. ZITKOVIC:    Optimization Problems from Investment and Random Endowment in Incomplete Semimartingale Markets, December 2002.

I.M. ZAMFIRESCU:    Optimal Stopping Under Model Uncertainty, May 2003.

C. KARDARAS:  The Numeraire Portfolio and Arbitrage in Semimartingale Models of Financial Markets.  December 2005.

SOUMIK PAL:   On Capital Requirements and Optimal Strategies to Achieve Acceptability.  May 2006.

NIKOLAOS ENGLEZOS:   Aspects of Utility Maximization with Habit-Formation: Dynamic Programming and Stochastic PDE’s.    February 2007.


Return to  :   Previous Page | Mathematics Department Home Page | Statistics Department Home Page