Michael I. Taksar

According to our database, Michael I. Taksar authored at least 33 papers between 1983 and 2010.

Collaborative distances:

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

2010

Optimal excess-of-loss reinsurance under borrowing constraints.

Shangzhen Luo, Michael Taksar

Risk Decis. Anal., 2010

Excess-of-loss reinsurance under taxes and fixed costs.

Tahir Choulli, Michael Taksar

Risk Decis. Anal., 2010

2009

On Maximizing CRRA Utility in Regime Switching Markets with Random Endowment.

Michael Taksar, Xudong Zeng

SIAM J. Control. Optim., 2009

2007

Optimal Terminal Wealth Under Partial Information: Both the Drift and the Volatility Driven by a Discrete-Time Markov Chain.

Michael Taksar, Xudong Zeng

SIAM J. Control. Optim., 2007

2006

Ruin Probability Minimization and Dividend Distribution Optimization in Diffusion Models.

Michael Taksar

Proceedings of the 45th IEEE Conference on Decision and Control, 2006

2003

A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control.

Tahir Choulli, Michael Taksar, Xun Yu Zhou

SIAM J. Control. Optim., 2003

Optimal dynamic reinsurance policies for large insurance portfolios.

Michael I. Taksar, Charlotte Markussen

Finance Stochastics, 2003

2002

Dynkin Games via Dirichlet Forms and Singular Control of One-Dimensional Diffusions.

Masatoshi Fukushima, Michael Taksar

SIAM J. Control. Optim., 2002

Equilibrium States of Random Economies with Locally Interacting Agents and Solutions to Stochastic Variational Inequalities in (L₁, L_∞).

Igor V. Evstigneev, Michael I. Taksar

Ann. Oper. Res., 2002

Optimal financing of a corporation subject to random returns: a summary.

Suresh P. Sethi, Michael I. Taksar

Proceedings of the 41st IEEE Conference on Decision and Control, 2002

2001

Convex stochastic optimization for random fields on graphs: A method of constructing Lagrange multipliers.

Igor V. Evstigneev, Michael I. Taksar

Math. Methods Oper. Res., 2001

Optimal risk control for a large corporation in the presence of returns on investments.

Bjarne Højgaard, Michael Taksar

Finance Stochastics, 2001

An optimization model for a company with constraints on risk control.

Tahir Choulli, Michael Taksar, Xun Yu Zhou

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

Optimal risk control and dividend distribution for a financial corporation with policy constraints.

Tahir Choulli, Michael Taksar, Xun Yu Zhou

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

2000

Optimal risk and dividend distribution control models for an insurance company.

Michael I. Taksar

Math. Methods Oper. Res., 2000

Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation.

Søren Asmussen, Bjarne Højgaard, Michael Taksar

Finance Stochastics, 2000

Optimal Production and Setup Scheduling: A One-Machine, Two-Product System.

Jun Yang, Houmin Yan, Michael I. Taksar

Ann. Oper. Res., 2000

Dependence of the Optimal Risk Control Decisions on the Terminal Value for a Financial Corporation.

Michael I. Taksar

Ann. Oper. Res., 2000

1998

Robust output feedback control for linear stochastic systems in continuous time with time-varying parameters.

Michael Taksar, Alexander S. Poznyak, A. Iparraguirre

IEEE Trans. Autom. Control., 1998

A Dynamic Stochastic Stock-Cutting Problem.

Elena V. Krichagina, Rodrigo Rubio, Michael I. Taksar, Lawrence M. Wein

Oper. Res., 1998

Optimal Production Planning in a Multi-Product Stochastic Manufacturing System with Long-Run Average Cost.

Suresh P. Sethi, W. Suo, Michael I. Taksar, H. Yan

Discret. Event Dyn. Syst., 1998

1996

Book review.

Michael Taksar

Discret. Event Dyn. Syst., 1996

1995

Diffusion Approximation for a Controlled Stochastic Manufacturing System with Average Cost Minimization.

Elena V. Krichagina, Sheldon X. C. Lou, Suresh P. Sethi, Michael I. Taksar

Math. Oper. Res., 1995

1994

Double Band Policy for Stochastic Manufacturing Systems in Heavy Traffic.

Elena V. Krichagina, Sheldon X. C. Lou, Michael I. Taksar

Math. Oper. Res., 1994

A Heavy-Traffic Limit for the Cycle Counting Process in G/G/1, Optional Interruptions and Elastic Screen Brownian Motion.

Offer Kella, Michael I. Taksar

Math. Oper. Res., 1994

1992

Diffusion approximation for<i>GI/G</i>/1 controlled queues.

Elena V. Krichagina, Michael I. Taksar

Queueing Syst. Theory Appl., 1992

Singular ergodic control for multidimensional Gaussian processes.

José-Luis Menaldi, Maurice Robin, Michael I. Taksar

Math. Control. Signals Syst., 1992

1991

An Asymptotic Analysis of Hierarchical Control of Manufacturing Systems Under Uncertainty.

John P. Lehoczky, Suresh P. Sethi, H. Mete Soner, Michael I. Taksar

Math. Oper. Res., 1991

1989

Optimal correction problem of a multidimensional stochastic system.

José-Luis Menaldi, Michael I. Taksar

Autom., 1989

1988

A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees.

Michael Taksar, Michael J. Klass, David Assaf

Math. Oper. Res., 1988

1985

Average Optimal Singular Control and a Related Stopping Problem.

Michael I. Taksar

Math. Oper. Res., 1985

Regenerative Analysis and Steady State Distributions for Markov Chains.

Winfried K. Grassmann, Michael I. Taksar, Daniel P. Heyman

Oper. Res., 1985

1983

Instantaneous Control of Brownian Motion.

J. Michael Harrison, Michael I. Taksar

Math. Oper. Res., 1983