Daniel Hernández-Hernández
Daniel Hernández-Hernández
Dirección de correo verificada de cimat.mx - Página principal
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An optimal consumption model with stochastic volatility
WH Fleming, D Hernández-Hernández
Finance and Stochastics 7 (2), 245-262, 2003
1502003
Risk sensitive control of Markov processes in countable state space
D Hernández-Hernández, SI Marcus
Systems and Control Letters 29 (01), 147-155, 1996
1321996
Risk-sensitive control of finite state machines on an infinite horizon I
WH Fleming, D Hernández-Hernández
SIAM Journal on Control and Optimization 35 (5), 1790-1810, 1997
1101997
Risk sensitive Markov decision processes
SI Marcus, E Fernández-Gaucherand, D Hernández-Hernandez, ...
Systems and control in the twenty-first century, 263-279, 1997
1081997
Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
T Bielecki, D Hernández-Hernández, SR Pliska
Mathematical Methods of Operations Research 50 (2), 167-188, 1999
761999
Robust utility maximization in a stochastic factor model
D Hernández-Hernández, A Schied
Statistics and Decisions 24 (01), 101-125, 2005
662005
A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
D Hernández-Hernández, A Schied
Stochastic processes and their applications 117 (8), 980-1000, 2007
632007
Optimal consumption-investment problems in incomplete markets with stochastic coefficients
N Castaneda-Leyva, D Hernández-Hernández
SIAM journal on control and optimization 44 (4), 1322-1344, 2005
572005
The linear programming approach to deterministic optimal control problems
D Hernández-Hernández, O Hernández-Lerma, M Taksar
Applicationes Mathematicae 24, 17-33, 1996
551996
On the value of stochastic differential games
WH Fleming, D Hernández-Hernández
Communications on Stochastic Analysis 5 (2), 6, 2011
502011
Existence of risk-sensitive optimal stationary policies for controlled Markov processes
D Hernández-Hernández, SI Marcus
Applied Mathematics and Optimization 40 (3), 273-285, 1999
491999
A characterization of the optimal risk-sensitive average cost in finite controlled Markov chains
R Cavazos-Cadena, D Hernández-Hernández
The Annals of Applied Probability 15 (1A), 175-212, 2005
342005
Risk-sensitive control of finite state machines on an infinite horizon II
WH Fleming, D Hernández-Hernández
SIAM journal on control and optimization 37 (4), 1048-1069, 1999
331999
The tradeoff between consumption and investment in incomplete financial markets
WH Fleming, D Hernández-Hernández
Applied Mathematics and Optimization 52 (2), 219-235, 2005
272005
Discounted approximations for risk-sensitive average criteria in Markov decision chains with finite state space
R Cavazos-Cadena, D Hernández-Hernández
Mathematics of Operations Research 36 (1), 133-146, 2011
232011
A zero-sum game between a singular stochastic controller and a discretionary stopper
D Hernandez-Hernandez, RS Simon, M Zervos
The Annals of Applied Probability 25 (1), 46-80, 2015
192015
Analysis of a risk-sensitive control problem for hidden Markov chains
D Hernández-Hernández, SI Marcus, PJ Fard
IEEE Transactions on Automatic Control 44 (5), 1093-1100, 1999
191999
Optimality of refraction strategies for spectrally negative Lévy processes
D Hernández-Hernández, JL Perez, K Yamazaki
SIAM Journal on Control and Optimization 54 (3), 1126-1156, 2016
182016
An optimal investment strategy with maximal risk aversion and its ruin probability
B Fernández, D Hernández-Hernández, A Meda, P Saavedra
Mathematical Methods of Operations Research 68 (1), 159-179, 2008
162008
DISCOUNTED COST MARKOV DECISION-PROCESSES ON BOREL SPACES - THE LINEAR-PROGRAMMING FORMULATION
DHH Onesimo Hernández-Lerma
J. Mathematical Analysis Applications 183, 335-351, 1994
141994
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Artículos 1–20