Jack Baczynski

According to our database, Jack Baczynski authored at least 20 papers between 2000 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2024

Exploring non-analytical affine jump-diffusion models for path-dependent interest rate derivatives.

Allan Jonathan da Silva, Jack Baczynski

Comput. Manag. Sci., June, 2024

2019

Path-Dependent Interest Rate Option Pricing with Jumps and Stochastic Intensities.

Allan Jonathan da Silva, Jack Baczynski, João Felipe da Silva Bragança

Proceedings of the Computational Science - ICCS 2019, 2019

2017

A new approach to risk sensitivity.

Jack Baczynski

IMA J. Math. Control. Inf., 2017

Pricing multi-asset barrier options.

Estevao Rosalino, Jack Baczynski, Dorival Leão

Proceedings of the 56th IEEE Annual Conference on Decision and Control, 2017

A new method for pricing interest-rate derivatives in fixed income markets.

Jack Baczynski, Juan B. R. Otazu, José V. M. Vicente

Proceedings of the 56th IEEE Annual Conference on Decision and Control, 2017

2016

A new finite difference method for pricing and hedging fixed income derivatives: Comparative analysis and the case of an Asian option.

Allan Jonathan da Silva, Jack Baczynski, José V. M. Vicente

J. Comput. Appl. Math., 2016

2012

A risk sensitive performance index for control problems with a view to Markov jump systems.

Jack Baczynski

Proceedings of the 51th IEEE Conference on Decision and Control, 2012

2008

Maximal versus strong solution to algebraic Riccati equations arising in infinite Markov jump linear systems.

Jack Baczynski, Marcelo D. Fragoso

Syst. Control. Lett., 2008

Maximal solution to algebraic Riccati equations linked to infinite Markov jump linear systems.

Jack Baczynski, Marcelo D. Fragoso

Math. Control. Signals Syst., 2008

2005

Optimal linear mean square filter for continuous-time jump linear systems.

Marcelo D. Fragoso, Oswaldo L. V. Costa, Jack Baczynski, Nei C. S. Rocha

IEEE Trans. Autom. Control., 2005

A Note on Convergence in Maximal Solution Problems for Infinite Markov Jump Linear Systems.

Jack Baczynski, Marcelo D. Fragoso

Proceedings of the 44th IEEE IEEE Conference on Decision and Control and 8th European Control Conference Control, 2005

2004

On existence of maximal solution for infinite dimensional perturbed algebraic Riccati equations associated to Markov jump linear systems.

Jack Baczynski, Marcelo D. Fragoso

Proceedings of the 2004 American Control Conference, 2004

2001

Optimal Control for Continuous-Time Linear Quadratic Problems with Infinite Markov Jump Parameters.

Marcelo D. Fragoso, Jack Baczynski

SIAM J. Control. Optim., 2001

On a discrete-time linear jump stochastic dynamic game.

Jack Baczynski, Marcelo D. Fragoso, Ernesto P. Lopes

Int. J. Syst. Sci., 2001

The minimum linear mean square filter for a class of hybrid systems.

Marcelo D. Fragoso, Oswaldo L. V. Costa, Jack Baczynski

Proceedings of the 6th European Control Conference, 2001

On an infinite dimensional perturbed Riccati differential equation arising in stochastic control.

Marcelo D. Fragoso, Jack Baczynski

Proceedings of the 6th European Control Conference, 2001

Some aspects of stability in continuous time linear infinite Markov jump parameter systems.

Marcelo D. Fragoso, Jack Baczynski

Proceedings of the 6th European Control Conference, 2001

On maximal solution to infinite dimensional perturbed Riccati differential equations arising in stochastic control.

Jack Baczynski, Marcclo D. Fragoso

Proceedings of the 40th IEEE Conference on Decision and Control, 2001

2000

H_∞ control for continuous-time linear systems with infinite Markov jump parameters via semigroup.

Marcelo D. Fragoso, Eulina C. S. Nascimento, Jack Baczynski

Proceedings of the 39th IEEE Conference on Decision and Control, 2000

Lyapunov coupled equations for infinite jump linear systems.

Marcelo D. Fragoso, Jack Baczynski

Proceedings of the 39th IEEE Conference on Decision and Control, 2000