Jack Baczynski

Orcid: 0000-0002-3096-3129

According to our database1, Jack Baczynski authored at least 20 papers between 2000 and 2024.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of five.

Timeline

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Bibliography

2024
Exploring non-analytical affine jump-diffusion models for path-dependent interest rate derivatives.
Comput. Manag. Sci., June, 2024

2019
Path-Dependent Interest Rate Option Pricing with Jumps and Stochastic Intensities.
Proceedings of the Computational Science - ICCS 2019, 2019

2017
A new approach to risk sensitivity.
IMA J. Math. Control. Inf., 2017

Pricing multi-asset barrier options.
Proceedings of the 56th IEEE Annual Conference on Decision and Control, 2017

A new method for pricing interest-rate derivatives in fixed income markets.
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.
J. Comput. Appl. Math., 2016

2012
A risk sensitive performance index for control problems with a view to Markov jump systems.
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.
Syst. Control. Lett., 2008

Maximal solution to algebraic Riccati equations linked to infinite Markov jump linear systems.
Math. Control. Signals Syst., 2008

2005
Optimal linear mean square filter for continuous-time jump linear systems.
IEEE Trans. Autom. Control., 2005

A Note on Convergence in Maximal Solution Problems for Infinite Markov Jump Linear Systems.
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.
Proceedings of the 2004 American Control Conference, 2004

2001
Optimal Control for Continuous-Time Linear Quadratic Problems with Infinite Markov Jump Parameters.
SIAM J. Control. Optim., 2001

On a discrete-time linear jump stochastic dynamic game.
Int. J. Syst. Sci., 2001

The minimum linear mean square filter for a class of hybrid systems.
Proceedings of the 6th European Control Conference, 2001

On an infinite dimensional perturbed Riccati differential equation arising in stochastic control.
Proceedings of the 6th European Control Conference, 2001

Some aspects of stability in continuous time linear infinite Markov jump parameter systems.
Proceedings of the 6th European Control Conference, 2001

On maximal solution to infinite dimensional perturbed Riccati differential equations arising in stochastic control.
Proceedings of the 40th IEEE Conference on Decision and Control, 2001

2000
H<sub>∞</sub> control for continuous-time linear systems with infinite Markov jump parameters via semigroup.
Proceedings of the 39th IEEE Conference on Decision and Control, 2000

Lyapunov coupled equations for infinite jump linear systems.
Proceedings of the 39th IEEE Conference on Decision and Control, 2000


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