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ORCIDDaniel Hernández-Hernández
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- affiliation: CINVESTAV, Department of Mathematics, Guanajuato, Mexico
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2020 – today
- 2023
[j22]Diego Hernández Bustos, Daniel Hernández-Hernández:
Portfolio management under drawdown constraint in discrete-time financial markets. J. Appl. Probab. 60(1): 127-147 (2023)- [j21]Daniel Hernández-Hernández
, Pedro Salazar-Sánchez:
Risk-Sensitive LQG Discounted Control Problems and Their Asymptotic Behavior. SIAM J. Control. Optim. 61(3): 1136-1161 (2023) - 2022
- [j20]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): 1293-1311 (2022)
2010 – 2019
- 2019
- [j19]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): 219-240 (2019) - 2018
- [j18]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): 2095-2119 (2018) - 2017
- [j17]Daniel Hernández-Hernández, Diego Hernández Bustos:
Local Poisson Equations Associated with Discrete-Time Markov Control Processes. J. Optim. Theory Appl. 173(1): 1-29 (2017) - 2016
- [j16]Rolando Cavazos-Cadena, Daniel Hernández-Hernández:
Local Poisson equations associated with the Varadhan functional. Asymptot. Anal. 96(1): 23-50 (2016) - [j15]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): 224-235 (2016) - [j14]Daniel Hernández-Hernández, José-Luis Pérez, Kazutoshi Yamazaki:
Optimality of Refraction Strategies for Spectrally Negative Lévy Processes. SIAM J. Control. Optim. 54(3): 1126-1156 (2016) - 2014
- [j13]Daniel Hernández-Hernández, Erick Treviño-Aguilar:
Characterization of the Value Process in Robust Efficient Hedging. J. Optim. Theory Appl. 161(1): 56-75 (2014) - 2012
- [j12]Rolando Cavazos-Cadena, Daniel Hernández-Hernández:
Nash equilibria in a class of Markov stopping games. Kybernetika 48(5): 1027-1044 (2012) - 2011
- [j11]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): 133-146 (2011)
2000 – 2009
- 2009
- [j10]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): 254-258 (2009) - 2008
- [j9]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): 159-179 (2008) - [j8]Rolando Cavazos-Cadena, Daniel Hernández-Hernández:
A central limit theorem for normalized products of random matrices. Period. Math. Hung. 56(2): 183-211 (2008) - 2005
- [j7]Netzahualcoyotl Castañeda-Leyva, Daniel Hernández-Hernández:
Optimal Consumption-Investment Problems in Incomplete Markets with Stochastic Coefficients. SIAM J. Control. Optim. 44(4): 1322-1344 (2005) - [c2]Netzahualcoyotl Castañeda-Leyva, Daniel Hernández-Hernández:
Optimal Consumption-Investment Problems in Incomplete Markets with Random Coefficients. CDC/ECC 2005: 6650-6655 - 2004
- [j6]Rolando Cavazos-Cadena, Daniel Hernández-Hernández:
A characterization of exponential functionals in finite Markov chains. Math. Methods Oper. Res. 60(3): 399-414 (2004) - 2003
- [j5]Wendell H. Fleming, Daniel Hernández-Hernández:
An optimal consumption model with stochastic volatility. Finance Stochastics 7(2): 245-262 (2003) - [j4]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): 473-479 (2003) - [j3]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): 810-838 (2003) - 2002
- [c1]Rolando Cavazos-Cadena, Daniel Hernández-Hernández:
On a representation of Varadhan's functional as a convex minimization problem. CDC 2002: 1398-1401
1990 – 1999
- 1999
- [j2]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): 167-188 (1999) - [j1]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): 1093-1100 (1999)
Coauthor Index
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