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ORCIDTomasz R. Bielecki
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2020 – today
- 2023
[j14]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): 231-268 (2023)
2010 – 2019
- 2019
- [j13]Tomasz R. Bielecki, Tao Chen, Igor Cialenco, Areski Cousin, Monique Jeanblanc:
Adaptive Robust Control under Model Uncertainty. SIAM J. Control. Optim. 57(2): 925-946 (2019) - 2018
- [j12]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): 204-221 (2018) - 2015
- [j11]Tomasz R. Bielecki, Marek Rutkowski:
Valuation and Hedging of Contracts with Funding Costs and Collateralization. SIAM J. Financial Math. 6(1): 594-655 (2015) - [j10]Tomasz R. Bielecki, Igor Cialenco, Tao Chen:
Dynamic Conic Finance via Backward Stochastic Difference Equations. SIAM J. Financial Math. 6(1): 1068-1122 (2015) - [r1]Tomasz R. Bielecki:
Credit Risk Modeling. Encyclopedia of Systems and Control 2015 - 2014
- [j9]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): 90-102 (2014) - 2011
- [j8]Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski:
Hedging of a credit default swaption in the CIR default intensity model. Finance Stochastics 15(3): 541-572 (2011)
2000 – 2009
- 2006
- [c2]Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, Marek Rutkowski:
Arbitrage Pricing of Convertible Securities with Credit Risk. CDC 2006: 2889-2894 - 2005
- [j7]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): 1811-1843 (2005) - 2004
- [j6]Tomasz R. Bielecki, Marek Rutkowski:
Modeling of the defaultable term structure: conditionally Markov approach. IEEE Trans. Autom. Control. 49(3): 361-373 (2004) - [j5]Tomasz R. Bielecki, Stanley R. Pliska:
Risk-sensitive ICAPM with application to fixed-income management. IEEE Trans. Autom. Control. 49(3): 420-432 (2004) - 2003
- [c1]Tomasz R. Bielecki, Stanley R. Pliska, Hanqing Jin, Xun Yu Zhou:
Continuous-time mean-variance portfolio choice with no-bankruptcy constraint. CDC 2003: 5945-5950 - 2000
- [j4]Tomasz R. Bielecki, Stanley R. Pliska:
Risk sensitive asset management with transaction costs. Finance Stochastics 4(1): 1-33 (2000) - [j3]Tomasz R. Bielecki:
Review of continuous-time Markov chains and applications [Book Review]. IEEE Trans. Autom. Control. 45(3): 597-598 (2000)
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) - 1997
- [j1]Tomasz R. Bielecki:
Hierarchical Decision Making In Stochastic Manufacturing Systems [Book Review]. IEEE Trans. Autom. Control. 42(6): 890-891 (1997)
Coauthor Index
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