PUBLICATIONS
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Preprints
·
Utility maximization with model-independent constraints (with A.
Cox).
·
Mean-field games with common Poissonian
noise: A maximum principle approach (with J. H. Ricalde-Guerrero).
·
Conditional McKean-Vlasov differential
equations with common Poissonian noise: Propagation
of chaos (with J. H. Ricalde-Guerrero).
·
Coupled forward-backward stochastic differential equations with
jumps in a random environment (with J. H. Ricalde-Guerrero).
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Research papers
1.
Path-dependent zero-sum
deterministic games with intermediate Hamiltonians (with H. Kaise).
Numerical Algebra, Control and
Optimization. To appear.
2. Drawdown constraint for long-term investments under partial
information (with E. Treviño-Aguilar). Pure and Applied Functional
Analysis. To appear.
3. Risk-sensitive LQG discounted control problems and their
asymptotic behavior (with P. Salazar-Sánchez).
SIAM
J. Control Optimization (2023), 61(3), pp. 1136-1161.
4.
Portfolio management under drawdown
constraint in discrete-time financial models (with D. Hernández-Bustos). Journal of Applied
Probability (2023), 60, pp. 127-147.
5.
Zero-sum stochastic games with random
rules of priority: Discrete linear-quadratic model (with J. H.
Ricalde-Guerrero). Dynamic Games and Applications (2022), 12, pp. 1293-1311.
6. On the minimax theorem for the space of probability measures on
metric spaces (with J. Villa). Banach
Center Publications (2020), 122,
pp. 159-168.
7.
The vanishing discount approach in
a class of zero-sum finite games with risk-sensitive average criterion (with R.
Cavazos-Cadena). SIAM J. Control and Optimization (2019), 57(1), pp. 219-240.
8. Periodic strategies in optimal execution with multiplicative price
impact (with H. Moreno-Franco and J.L. Pérez). Mathematical Finance (2019), 29(4), pp. 1039-1065.
9. Variance-optimal martingale
measures for diffusion processes with stochastic coefficients. Set-Valued
and Variational Analysis (2018),
26(4), pp. 975-991.
10.
Zero-sum stochastic differential
games without the Isaacs condition: random rules of priority and intermediate
Hamiltonians (with M. Sirbu). SIAM J. Control and Optimization
(2018), 56(3), pp. 2095-2119. Best paper
award.
11.
Vanishing discount approximations
in controlled Markov chains with risk-sensitive average criterion (with R.
Cavazos-Cadena). Advances in Applied
Probability (2018), 50(1), pp.204-230.
12. Worst case portfolios of dynamic
monetary utility functions (with O.H. Madrid-Padilla). Stochastics (2018),
90 (1), pp. 78-101.
13. Mixed strategies for deterministic
differential games (with W.H. Fleming). Comm. Stochastic Analysis (2017),
11(2), pp.137-156.
14. Local Poisson equations associated
with discrete-time Markov control processes (with D. Hernández-Bustos). J.
Optimization Theory and Applications (2017), 173, pp.1-29.
15. Exact and approximate
Nash equilibria in discounted Markov stopping games with terminal
redemption (with R. Cavazos-Cadena). J. Mathematical Analysis and Applications (2016),
433, pp. 1110--1141.
16. A characterization of the optimal
average cost via the Arrow-Pratt sensitivity function (with R.
Cavazos Cadena). Mathematics of Operations Research (2016),
41, pp. 224-235.
17. Optimality of refraction strategies
for spectrally negative Lévy processes
(with J.L. Pérez and K. Yamazaki). SIAM J. Control and Optimization (2016),
54, pp. 1126-1156 .
18. Poisson equations associated with
the Varadhan functional (with
R. Cavazos-Cadena). Asymptotic Analysis (2016), 96, pp. 23-50.
19. Games of singular control and
stopping driven by spectrally one-sided Lévy processes
(with K. Yamazaki). Stochastic Processes and their Applications (2015),
125, pp. 1-38.
20. Zero-sum game between a singular
stochastic controller and a discretionary stopper (with R. S. Simon
and M. Zervos). Annals of Applied
Probability. (2015), 12, pp. 45-80.
21. Characterization of the value
process in robust efficient hedging (with E. Treviño Aguilar). Special
volume on Optimization in Finance of J. Optimization
Theory and Applications. (2014), 161, pp. 56-75.
22. Quantile portfolio optimization
under distortion risk measure constraints (with L. D. Cahuich). Applied
Mathematics and Optimization. (2013), 62, pp. 157-179.
23. Contractive mappings and existence
of cycle times for a monotone and homogeneous function (with R.
Cavazos-Cadena). Nonlinear Analysis. (2012), 75, pp. 6148-6159.
24. Nash equilibria in a
class of Markov stopping games (with R. Cavazos-Cadena). Kybernetika. (2012), 48, pp. 1027-1044.
25. Efficient hedging of European
options with robust convex loss functionals: A
dual representation formula (with E. Treviño-Aguilar). Mathematical
Finance. (2011), 21, pp. 99-115.
26. Discounted approximations for risk
sensitive average criteria in Markov decision chains with finite state space
(with R. Cavazos-Cadena). Mathematics of Operations Research. (2011),
36, pp. 133-146.
27. On the value of stochastic
differential games (with W. H. Fleming). Comm. Stochastic Analysis. (2011),
5, pp. 341-351.
28. Utility maximization in markets
with bid-ask spreads (with N. Castañeda-Leyva). Stochastics. (2011),
83, pp. 17-43.
29. 19. Poisson equations associated
with a homogeneous and monotone function: necessary and
sufficient conditions for a solution in a weakly convex
case (with R.
Cavazos-Cadena). Nonlinear Analysis. (2010), 72,
pp. 3303-3313.
30. Necessary and sufficient conditions
for a solution to the risk sensitive Poisson equation on a finite state space (with R.
Cavazos-Cadena). Systems and Control Letters.(2009), 58, pp. 254-258.
31. A central limit theorem for normalized
products of random matrices (with R. Cavazos-Cadena). Periodica Mathematica Hungarica. (2008), 56, pp. 183-211.
32. An optimal investment strategy with
maximal risk aversion and its ruin probability (with B. Fernández, A. Meda, P.
Saavedra). Mathematical Methods of Operations Research (2008), 68,
pp. 159-179.
33. Contactive approximations for the Varadhan’s functional on a finite Markov chain (with R.
Cavazos-Cadena). Theory of Probability and Its Applications (2008),
52, pp. 315-323.
34. A control approach to robust
utility maximization with log-utility and time consistent penalties (with A. Schied). Stochastic Processes and Their
Applications (2007), 117, pp. 980-1000.
35. A system of Poisson equations for a
non-constant Varadhan functional on a
finite state space (with R. Cavazos-Cadena). Applied Mathematics and
Optimization (2006), 53, pp. 101-119.
36. Robust utility maximization in
stochastic factor model (with A. Schied). Special
volume on Risk Measures in Statistics and Decisions (2006),
24, pp. 109-125.
37. A characterization of the optimal
risk-sensitive average cost in finite controlled Markov chains (with R.
Cavazos-Cadena). Annals of Applied Probability (2005), 15, pp.
175-212.
38. On the tradeoff between consumption
and investment in incomplete financial markets (with W. H. Fleming). Applied
Mathematics and Optimization (2005), 52, pp. 219-235
39. Optimal consumption-investment
problems in incomplete markets with stochastic coefficients (with N. Castañeda-Leyva). SIAM J. Control and Optimization (2005),
44, pp. 1322-1344.
40. Successive approximations in
partially observable controlled Markov chains with risk-sensitive average
criterion (with R. Cavazos-Cadena). Stochastics (2005), 77,
pp. 537-568.
41. A characterization of
exponential functionals in finite Markov
chains (with R.
Cavazos-Cadena). Mathematical Methods of Operations Research (2004),
60, pp. 399-414.
42. An optimal consumption model with
stochastic volatility (with W. Fleming). Finance and Stochastics (2003),
2, pp. 245-262.
43. Large deviations for a random walk
model with state dependent noise (with M. Boué, R.
Ellis). SIAM J. Control and Optimization (2003), 42, pp.
810-838.
44. Optimal investment in incomplete
markets with stochastic volatility (with N. Castañeda-Leyva). Contemporary
Mathematics AMS (2003) 3365, pp. 119-136.
45. Solution to the risk sensitive
average optimality equation in communicating Markov decision chains with finite
state space: An alternative approach (with R. Cavazos-Cadena) Mathematical Methods of
Operations Research. (2002), 56, pp. 473-479.
46. Existence of risk sensitive optimal
stationary polices for controlled Markov processes (with S.I. Marcus) Applied
Mathematics and Optimization. (1999) 40, pp. 273-285.
47. Analysis of a risk sensitive
control problem for hidden Markov chains (with S.I. Marcus, P. Frad) IEEE
Trans. Autom. Control. (1999) 44, pp.
1093-1100.
48. Risk sensitive control of finite
state machines on an infinite horizon II (with W. H. Fleming). SIAM J. Control
and Optimization (1999) 37, pp. 1048-1069.
49. Risk sensitive control of finite
state machines on an infinite horizon I (with W. H.Fleming). SIAM J. Control and Optimization.
(1997) 35, pp. 1790-1810.
50. Risk sensitive control of finite
state Markov chains, with applications to portfolio management (with T. Bielecki, S. Pliska).
Special Volume on Financial Optimization in Mathematical Methods of
Operation Research (1999), 50, pp. 167-188.
51. Risk sensitive control of Markov
processes in countable state space (with S.I. Marcus) Systems and Control Letters (1996)
29, pp. 147-155.
52. The linear programming approach to
deterministic optimal control problems (with O. Hernández-Lerma, M. Taksar). Applicationes Mathematicae (1996) 21, 1, pp. 17-33.
53. Linear programming and infinite
horizon problems of deterministic control theory (with O. Hernández-Lerma). Boletin Sociedad Matematica Mexicana (1995) (3) 1, pp.
59-72.
54. Discounted cost Markov decision
processes on Borel spaces: The linear
programming formulation. (with O. Hernández-Lerma). J. Mathematical Analysis
and Applications. (1994) 183, pp. 335-351.
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Chapters in books
1.
A free model characterization of the asymptotic certainty equivalent
by the Arrow-Pratt index (with E. Treviño-Aguilar),
Modeling, Stochastic Control, Optimization, and Applications, Editors: G. Yin
and Q. Zhang. The IMA Volumes in
Mathematics and its Applications, Springer-Verlag, pp. 261-281,
2019.
2.
Characterization of the minimal penalty of a convex risk measure
with applications to robust optimization for Lévy processes (with
L. Pérez-Hernández), XII Symposium on Probability and Stochastic Processes,
Editors: D. Hernández, J.C. Pardo V. Rivero. Serie Progress in Probability, Birkhauser, pp. 135-168, 2018.
3. Solution of the HJB equations
involved in utility based pricing (with S.J. Sheu), XI Symposium on
Probability and Stochastic Processes, Editors: R. Mena, J.C. Pardo, V. Rivero, G. Uribe. Serie Progress
in Probability, Birkhauser, pp. 177-198, 2015.
4. Strategies for differential
games (with W.H. Fleming). In Stochastic Processes, Finance and
Control, Editors: S. Cohen, D. Madan, K. Siu and H. Yang. Scientific
World. pp. 89-104, 2012.
5. Optimal portfolio management with
consumption (with N. Castañeda Leyva).
In Mathematics of Finance, AMS, Editors: G. Yin and Q.
Zhang. pp. 81-91, 2004.
6. Risk sensitive asset management
with constrained trading strategies (with T. Bielecki,
S. Pliska). In Recent Developments
in Mathematical Finance, J. Yong, Editor.Scientific
World, 2002, pp. 127-138.
7. An optimal consumption-investment
problem for factor-dependent models (with W. H.Fleming), in Stochastic Theory and Control,
Lecture Notes in Control and Information Sciences 280, Springer-Verlag, B. Pasik- Duncan
(Ed), pp. 121-129, 2002.
8. Partially observed control problems
with multiplicative cost. In Stochastic Analysis, Control, Optimization
and Applications, Birkhauser. Editors:
W.M. McEneaney, G.G. Yin, Q. Zhang. pp.
41-55, 1999.
9. Risk sensitive Markov decision
processes (with S.I.
Marcus, E. Fernandez-Gaucherand, S. Coraluppi, P. Fard).
In Systems and Control in the Twenty-First Century.Series: progress in systems and control, Birkhauser. Editors: C.I. Byrnes, B.N. Datta, D.S. Gilliam, C.F. Martin. pp. 263-279,
1999.
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Edited volumes and books
1. Advances in Probability and Mathematical Statistics, Serie Progress in Probability 79, Birkhauser, 2021.
With F. Leonardi,
R.H. Mena and J.C. Pardo. ISBN 978-3-030-85324-2.
2.
XII Symposio
in Probability and Stochastic Processes, Serie Progress in
Probability, Birkhauser, 2018. With J.C. Pardo and V. Rivero. ISBN
978-3-319-77643-9.
3. Actuarial Sciences and Quantitative
Finance, Springer
Proceedings in Mathematics and Statistics, 2015. With J. Garrido and J. Londoño.
4. Invited editor (with R. H. Mena) of the Special
Volume of the Boletín de la Sociedad Matemática Mexicana,
for the International Year of Statistics. Vol. 19, No. 2,
2013.
5. Optimization, Control and
Applications of Stochastic Systems, Birkhauser,
Springer-Verlag. With A. Minjárez-Sosa. 2012.
6. Proceedings of the X Symposium on
Probability and Stochastic Processes and First Joint Meeting France-Mexico of
Probability, ESAIM Proceedings, 2011, Volume 31. With M.E.
Caballero, L. Chaumont, and V. Rivero.
7.
Modelos Estocásticos II, Aportaciones
Matemáticas SMM, 2001. With J.A.
López-Mimbela and R. Quezada.