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Mark Davis

Affiliations:
  • Imperial College London, Department of Mathematics, UK


According to our database1, Mark Davis authored at least 15 papers between 1975 and 2015.

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

Timeline

Legend:

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In proceedings 
Article 
PhD thesis 
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Links

Online presence:

On csauthors.net:

Bibliography

2015
Jump-diffusion asset-liability management via risk-sensitive control.
[BibTeX]
[DOI]
Mark H. A. Davis
,
Sébastien Lleo
OR Spectr., 2015

2013
Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model.
[BibTeX]
[DOI]
Mark Davis
,
Sébastien Lleo
SIAM J. Control. Optim., 2013

2011
Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model.
[BibTeX]
[DOI]
Mark Davis
,
Sébastien Lleo
SIAM J. Financial Math., 2011

2010
Impulse Control of Multidimensional Jump Diffusions.
[BibTeX]
[DOI]
Mark H. A. Davis
,
Xin Guo
,
Guoliang Wu
SIAM J. Control. Optim., 2010

Optimal investment under partial information.
[BibTeX]
[DOI]
Tomas Björk
,
Mark H. A. Davis
,
Camilla Landén
Math. Methods Oper. Res., 2010

2008
Informed Traders
[BibTeX]
[DOI]
Dorje C. Brody
,
Mark H. A. Davis
,
Robyn L. Friedman
,
Lane P. Hughston
CoRR, 2008

2007
Negative Libor rates in the swap market model.
[BibTeX]
[DOI]
Mark H. A. Davis
,
Vicente Mataix-Pastor
Finance Stochastics, 2007

1997
A new order estimation technique for time series modeling.
[BibTeX]
[DOI]
Mark H. A. Davis
,
Wei Xing Zheng
IEEE Trans. Autom. Control., 1997

A note on the forward measure.
[BibTeX]
[DOI]
Mark H. A. Davis
Finance Stochastics, 1997

1995
A new proof of the discrete-time LQG optimal control theorems.
[BibTeX]
[DOI]
Mark H. A. Davis
,
Mihail Zervos
IEEE Trans. Autom. Control., 1995

1985
Filtering and smoothing: An introduction to martingales, stochastic integrals and estimation: V. Krishnan.
[BibTeX]
[DOI]
Mark H. A. Davis
Autom., 1985

1980
Capacity and cutoff rate for Poisson-type channels.
[BibTeX]
[DOI]
Mark H. A. Davis
IEEE Trans. Inf. Theory, 1980

1977
The general point process disorder problem (Corresp.).
[BibTeX]
[DOI]
C. B. Wan
,
Mark H. A. Davis
IEEE Trans. Inf. Theory, 1977

Exact and approximate filtering in signal detection: An example (Corresp.).
[BibTeX]
[DOI]
Mark H. A. Davis
,
E. Andreadakis
IEEE Trans. Inf. Theory, 1977

1975
Nonlinear filtering with counting observations.
[BibTeX]
[DOI]
Adrian Segall
,
Mark H. A. Davis
,
Thomas Kailath
IEEE Trans. Inf. Theory, 1975


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