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2020 – today
- 2024
[j8]Allan Jonathan da Silva, Jack Baczynski:
Exploring non-analytical affine jump-diffusion models for path-dependent interest rate derivatives. Comput. Manag. Sci. 21(1): 29 (2024)
2010 – 2019
- 2019
- [c12]Allan Jonathan da Silva
, Jack Baczynski, João Felipe da Silva Bragança:
Path-Dependent Interest Rate Option Pricing with Jumps and Stochastic Intensities. ICCS (5) 2019: 710-716 - 2017
- [j7]Jack Baczynski:
A new approach to risk sensitivity. IMA J. Math. Control. Inf. 34(2): 425-449 (2017) - [c11]Jack Baczynski, Juan B. R. Otazu, José V. M. Vicente:
A new method for pricing interest-rate derivatives in fixed income markets. CDC 2017: 3057-3062 - [c10]Estevao Rosalino, Jack Baczynski, Dorival Leão:
Pricing multi-asset barrier options. CDC 2017: 3063-3068 - 2016
- [j6]Allan Jonathan da Silva, Jack Baczynski, José V. M. Vicente:
A new finite difference method for pricing and hedging fixed income derivatives: Comparative analysis and the case of an Asian option. J. Comput. Appl. Math. 297: 98-116 (2016) - 2012
- [c9]Jack Baczynski:
A risk sensitive performance index for control problems with a view to Markov jump systems. CDC 2012: 862-869
2000 – 2009
- 2008
- [j5]Jack Baczynski, Marcelo D. Fragoso:
Maximal solution to algebraic Riccati equations linked to infinite Markov jump linear systems. Math. Control. Signals Syst. 20(2): 157-172 (2008) - [j4]Jack Baczynski, Marcelo D. Fragoso:
Maximal versus strong solution to algebraic Riccati equations arising in infinite Markov jump linear systems. Syst. Control. Lett. 57(3): 246-254 (2008) - 2005
- [j3]Marcelo D. Fragoso, Oswaldo L. V. Costa, Jack Baczynski, Nei C. S. Rocha:
Optimal linear mean square filter for continuous-time jump linear systems. IEEE Trans. Autom. Control. 50(9): 1364-1369 (2005) - [c8]Jack Baczynski, Marcelo D. Fragoso:
A Note on Convergence in Maximal Solution Problems for Infinite Markov Jump Linear Systems. CDC/ECC 2005: 1735-1740 - 2004
- [c7]Jack Baczynski, Marcelo D. Fragoso:
On existence of maximal solution for infinite dimensional perturbed algebraic Riccati equations associated to Markov jump linear systems. ACC 2004: 2511-2515 - 2001
- [j2]Jack Baczynski, Marcelo D. Fragoso, Ernesto P. Lopes:
On a discrete-time linear jump stochastic dynamic game. Int. J. Syst. Sci. 32(8): 979-988 (2001) - [j1]Marcelo D. Fragoso, Jack Baczynski:
Optimal Control for Continuous-Time Linear Quadratic Problems with Infinite Markov Jump Parameters. SIAM J. Control. Optim. 40(1): 270-297 (2001) - [c6]Jack Baczynski, Marcclo D. Fragoso:
On maximal solution to infinite dimensional perturbed Riccati differential equations arising in stochastic control. CDC 2001: 1257-1262 - [c5]Marcelo D. Fragoso, Oswaldo L. V. Costa, Jack Baczynski:
The minimum linear mean square filter for a class of hybrid systems. ECC 2001: 319-323 - [c4]Marcelo D. Fragoso, Jack Baczynski:
Some aspects of stability in continuous time linear infinite Markov jump parameter systems. ECC 2001: 2088-2091 - [c3]Marcelo D. Fragoso, Jack Baczynski:
On an infinite dimensional perturbed Riccati differential equation arising in stochastic control. ECC 2001: 2582-2586 - 2000
- [c2]Marcelo D. Fragoso, Eulina C. S. Nascimento, Jack Baczynski:
H∞ control for continuous-time linear systems with infinite Markov jump parameters via semigroup. CDC 2000: 1160-1165 - [c1]Marcelo D. Fragoso, Jack Baczynski:
Lyapunov coupled equations for infinite jump linear systems. CDC 2000: 2349-2354
Coauthor Index
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