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Łukasz Stettner
Łukasz Stettner
professor of (applied) mathematics, IMPAN
Verified email at impan.gov.pl - Homepage
Title
Cited by
Cited by
Year
Risk-sensitive control of discrete-time Markov processes with infinite horizon
GB Di Masi, L Stettner
SIAM Journal on Control and Optimization 38 (1), 61-78, 1999
1671999
Infinite horizon risk sensitive control of discrete time Markov processes under minorization property
GB Di Masi, Ł Stettner
SIAM Journal on Control and Optimization 46 (1), 231-252, 2007
982007
Matematyka finansowa
J Jakubowski, A Palczewski, M Rutkowski, Ł Stettner
WNT, Warszawa, 2003
962003
On utility maximization in discrete-time financial market models
M Rásonyi, L Stettner
952005
On invariant measures of filtering processes
L Stettner
Stochastic Differential Systems: Proceedings of the 4th Bad Honnef …, 2006
792006
Zero-sum Markov games with stopping and impulsive strategies
Ł Stettner
Applied Mathematics and Optimization 9 (1), 1-24, 1982
781982
Approximations of discrete time partially observed control problems
WJ Runggaldier, L Stettner
(No Title), 1994
661994
Remarks on Ergodic Conditions for Markov Processes on Polish Spaces
L Stettner
Bulletin of the Polish Academy of Sciences-Mathematics 42 (2), 103-114, 1994
571994
Risk sensitive portfolio optimization
L Stettner
Math. Methods Oper. Res. 50 (3), 463-474, 1999
461999
On impulsive control with long run average cost criterion
Ł Stettner
Studia Mathematica 76 (3), 279-298, 1983
441983
Finite horizon optimal stopping of time-discontinuous functionals with applications to impulse control with delay
J Palczewski, Ł Stettner
SIAM Journal on Control and Optimization 48 (8), 4874-4909, 2010
402010
On the existence and uniqueness of invariant measure for continuous time Markov processes
L Stettner
Brown University. Lefschetz Center for Dynamical Systems. Division of …, 1986
391986
Penalty method for finite horizon stopping problems
L Stettner
SIAM journal on control and optimization 49 (3), 1078-1099, 2011
362011
Option pricing in the CRR model with proportional transaction costs: A cone transformation approach
Ł Stettner
Applicationes Mathematicae 24 (4), 475-514, 1997
361997
Option Pricing in Discrete‐Time Incomplete Market Models
L Stettner
Mathematical Finance 10 (2), 305-321, 2000
332000
Strong envelopes of stochastic processes and a penalty method
Ł Stettner, J Zabczyk
Stochastics: An International Journal of Probability and Stochastic …, 1981
331981
Invariant measures of the pair: state, approximate filtering process
Ł Stettner
Colloquium Mathematicum 62 (2), 347-351, 1991
301991
On nearly self-optimizing strategies for a discrete-time uniformly ergodic adaptive model
Ł Stettner
Applied Mathematics and Optimization 27, 161-177, 1993
291993
Ergodicity of hidden Markov models
GB Di Masi, Ł Stettner
Mathematics of Control, Signals and Systems 17, 269-296, 2005
282005
Almost self-optimizing strategies for the adaptive control of diffusion processes
TE Duncan, B Pasik-Duncan, L Stettner
Journal of optimization theory and applications 81 (3), 479-507, 1994
281994
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