**Publications **

**Publications**

[in chronological order as preprints posted online] Click here for publications by research areas

**Risk Filtering and Risk-Averse Control of Markovian Systems Subject to Model Uncertainty** (with Tomasz R. Bielecki and Andrzej** **Ruszczyński), submitted for publication (27 pages), 2022. arXiv PDF **[46]**

**Statistical analysis of discretely sampled semilinear SPDEs: a power variation approach**** **(with Hyun-Jung Kim and Gregor Pasemann), submitted for publication (21 pages), 2021. arXiv PDF **[45]**

**Risk-sensitive Markov decision problems under model uncertainty: finite time horizon case**** **(with Tomasz R. Bielecki, and Tao Chen), In: Yin, G., Zariphopoulou, T. (eds) Stochastic Analysis, Filtering, and Stochastic Optimization. Springer, Cham, pp. 33-52, 2022. DOI: 10.1007/978-3-030-98519-6_2 . arXiv PDF **[44]**

**Acceptability Maximization** (with Gabriela Kováĉova and Birgit Rudloff), Frontiers of Mathematical Finance, June 1(2), pp.219-248, 2022. DOI: 10.3934/fmf.2021009 arXiv PDF **[43]**

**Parameter estimation for semilinear SPDEs from local measurements**** **(Randolf Altmeyer and Gregor Pasemann), forthcoming in Bernoulli, (46 pages), 2020 arXiv PDF **[42]**

**Parameter estimation for discretely sampled stochastic heat equation driven by space-only noise revised**** **(with Hyun-Jung Kim), Stochastic Processes and their Applications, 22, pp. 1-30, 2022. DOI: 10.1016/j.spa.2021.09.012 arXiv PDF **[41]**

**Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection**** **(with Tomasz R. Bielecki, and Tao Chen), International Journal of Theoretical and Applied Finance, 24(1) 2150003 (28 pages), 2021. DOI: 10.1142/S0219024921500035 arXiv PDF **[40]**

**Drift estimation for discretely sampled SPDEs**** **(with Francisco Delgado-Vences, and Hyun-Jung Kim) *Stoch PDE: Anal Comp, *8, pp.** **895–920, 2020. DOI: 10.1007/s40072-019-00164-4 arXiv PDF / **[39]**

**Statistical Analysis of Some Evolution Equations Driven by Space-Only Noise** (with Hyun-Jung Kim, and Sergey Lototsky) Statistical Inference for Stochastic Processes, **23**, 83–103, 2020. DOI: 10.1007/s11203-019-09205-0 arXiv PDF / **[38]**

**Fair Estimation of Capital Risk Allocation** (with Tomasz R. Bielecki, Marcin Pitera and Thorsten Schmidt), Statistics & Risk Modeling , 37(1-2), pp. 1-24, 2020 (preprint 2019). DOI: 10.1515/strm-2019-0011 arXiv PDF / **[37]**

**Wiener-Hopf factorization for time-inhomogeneous Markov chains** (with Tomasz R. Bielecki, Ziteng Cheng and Ruoting Gong) Stochastics: An International Journal Of Probability And Stochastic Processes, 93(1), pp. 130-166 , 2021 (preprint 2019). DOI: 10.1080/17442508.2019.1708913, arXiv**,** PDF / **[36]**

**Bayesian Estimations for Diagonalizable Bilinear SPDEs** (with Ziteng Cheng and Ruoting Gong) Stochastic Processes and their Applications, 20(2), pp. 845-877, 2020 (preprint 2018) DOI:10.1016/j.spa.2019.03.020 arXiv, PDF / **[35]**

**A Dynamic Model of Central Counterparty Risk** (with Tomasz R. Bielecki, and Shibi Feng) International Journal of Theoretical and Applied Finance, Vol. 21, No. 08, 1850050 (32 pages), 2018. DOI:10.1142/S0219024918500504, arXiv, PDF / **[34] ****Featured article, and editor's choice on IJTAF (free access to registered users).**

**Wiener-Hopf factorization for time-inhomogeneous Markov chains and its application** (with Tomasz R. Bielecki, Ruoting Gong and Yicong Huang) Probability and Mathematical Statistics, 40(2), pp. 225-244 , 2020 (preprint 2018). arXiv, PDF / **[33]**

**Statistical Inference for SPDEs: an overview**, Statistical Inference for Stochastic Processes, 21(2), pp 309-329, 2018. DOI:10.1007/s11203-018-9177-9, arXiv, PDF / **[32]**

**A note on parameter estimation for discretely sampled SPDEs** (with Yicong Huang) Stochastics and Dynamics 20(3), pp. 2050016, 2020 (28 pages, preprint 2017). DOI:10.1142/S02194937205001, arXiv, PDF / **[31]**

**Adaptive Robust Control Under Model Uncertainty** (with Tomasz R. Bielecki, Tao Chen, Areski Cousin and Monique Jeanblanc) SIAM J. Control Optim (SICON) 57(2), pp. 925–946, 2019 (preprint 2017). DOI:10.1137/17M1137917 arXiv, PDF / **[30]**

**Arbitrage-Free Pricing of Derivatives in Nonlinear Market Models** (with Tomasz R. Bielecki and Marek Rutkowski) Probability, Uncertainty and Quantitative Risk 3:2, 2018 (56 pages). DOI:10.1007/10.1186/s41546-018-0027-x arXiv, PDF / **[29]**

**Trajectory Fitting Estimators for SPDEs Driven by Additive Noise** (with Ruoting Gong and Yicong Huang) Statistical Inference for Stochastic Processes, 21(1), pp. 1-19, 2018 (accepted for publication 2016).DOI:10.1007/s11203-016-9152-2, arXiv, PDF / **[28]**

**Recursive Construction of Confidence Regions** (with Tomasz R. Bielecki and Tao Chen) Electronic J. Statistics, 11(2), pp. 4674-4700, 2017. DOI:10.1214/17-EJS1362, arXiv, PDF / **[27]**

**A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective** (with Tomasz R. Bielecki and Marcin Pitera) Probability, Uncertainty and Quantitative Risk, 2:3, pp.1-52, 2017. DOI:10.1186/s41546-017-0012-9, arXiv, PDF / **[26]**

**Dynamic Conic Finance via Backward Stochastic Difference Equations** (with Tomasz R. Bielecki and Tao Chen) SIAM J. of Fin. Math., 6(1), 1068-1122. (55 pages), 2015. DOI:10.1137/141002013, arXiv, PDF / **[25]**

**A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time** (with Tomasz R. Bielecki and Marcin Pitera) Mathematics of Operations Research, 43(1), pp. 204-221, 2018.DOI:10.1287/moor.2017.0858, arXiv, PDF / **[24]**

**A note on error estimation for hypothesis testing problems for some linear SPDEs** (with Liaosha Xu) Stochastic Partial Differential Equations: Analysis and Computations, September 2014, vol. 2, No 3, pp. 408-431.DOI:10.1142/S0219024913500027, arXiv / **[23]**

**Dynamic Limit Growth Indices in Discrete Time** (with Tomasz R. Bielecki and Marcin Pitera) Stochastic Models, vol. 31, pp. 494-523, 2015. DOI:10.1080/15326349.2015.1053616, (preprint 2013) arXiv, PDF / **[22]**

**Hypothesis testing for stochastic PDEs driven by additive noise** (with Liaosha Xu) Stochastic Processes and their Applications, vol. 125, Issue 3, March 2015, pp. 819-866, DOI:10.1016/j.spa.2014.09.022, arXiv, PDF / **[21]**

**Dynamic Assessment Indices** (with Tomasz R. Bielecki, Samuel Drapeau and Martin Karliczek) Stochastics: An International Journal of Probability and Stochastic Processes, vol. 88, No 1, pp. 1-44, 2016 (accepted for publication March 2015) DOI:10.1080/17442508.2015.1026346, (preprint 2013) arXiv, PDF / **[20]**

**No-Arbitrage Pricing for Dividend-Paying Securities in Discrete-Time Markets with Transaction Costs** (with Tomasz R. Bielecki, and Rodrigo Rodriguez) Mathematical Finance, 25(4), pp. 673-701 , 2015 (accepted 2013, preprint 2012). DOI:10.1111/mafi.12038, arXiv, / **[19]**

**Collateralized CVA Valuation with Rating Triggers and Credit Migrations** (with Tomasz R. Bielecki, and Ismail Iyigunler) International Journal of Theoretical and Applied Finance, vol. 16, No 2, 2013.DOI:10.1142/S021902491350009X, arXiv, / **[18]**

**Dynamic Conic Finance: Pricing and Hedging in Market Models with Transaction Costs via Dynamic Coherent Acceptability Indices** (with Tomasz R. Bielecki, Ismail Iyigunler and Rodrigo Rodriguez) International Journal of Theoretical and Applied Finance, vol. 16, No 1, 2013. DOI:10.1142/S0219024913500027, arXiv, / **[17]**

**Finiteness of the point spectrum of some integro-differential operators** (with Marius M. Stanescu, D. Bolcu, and I. Ciuca) University Politehnica of Bucharest Sci. Bull., Series A, Vol. 75, Iss. 4, pp. 177-192, 2013. PDF / **[16]**

**Approximation of Stochastic Partial Differential Equations by a Kernel-based Collocation Method**, (with Gregory E. Fasshauer and Qi Ye) International Journal of Computer Mathematics, vol. 89, No 18, pp.2543-2561, 2012.DOI:10.1080/00207160.2012.688111, arXiv, / **[15]**

**Counterparty Risk and the Impact of Collateralization in CDS Contracts**, (with Tomasz R. Bielecki and Ismail Iyigunler) in Stochastic Processes, Finance and Control: A Festschrift in Honor of Robert J. Elliott (Vol. 1, Advances in Statistics, Probability and Actuarial Sciences), Editors Samuel N. Cohen, Dilip Madan, Tak Kuen Siu, World Scientific, 2012 arXiv, PDF / **[14]**

**Dynamic Coherent Acceptability Indices and their Applications to Finance** (with Tomasz R. Bielecki and Zhao Zhang) Mathematical Finance, Volume 24, Issue 3, pp. 411-441, July 2014 (accepted for publication Nov 2011, preperint 2010) DOI:10.1111/j.1467-9965.2012.00524.x, arXiv / **[13]**

**Do Technical Trading Profits Remain in the Foreign Exchange Market? Evidence from Fourteen Currencies** (with Aris Protopapadakis) Journal of International Financial Markets, Institutions & Money, vol 21 , pp 176-206, 2011.DOI:10.1016/j.intfin.2010.10.001, SSRN / **[12]**

**Parameter estimation for stochastically perturbed Navier-Stokes Equations** (with Nathan Glatt-Holtz) Stochastic Processes and their Applications, vol 121, pp. 701-724, 2011. DOI:10.1016/j.spa.2010.12.007, arXiv, / **[11]**

**Parameter estimations for SPDEs with multiplicative fractional noise**, Stochastics and Dynamics, Vol. 10, No. 4, pp 561-576, 2010, DOI: 10.1142/S0219493710003091 arXiv / **[10]**

**Absence of eigenvalues for integro-differential operators with periodic coefficients** (with Marius M. Stanescu) An. St. Univ. Ovidius Constanta, Ser. Mat., Vol. 18(2), pp. 253-266, 2010 PDF, arXiv** **/ **[9]**

**Parameter estimation in diagonalizable bilinear stochastic parabolic equations** (with Sergey V. Lototsky) Statistical Inference for Stochastic Processes, vol 12, No.3, pp. 203-219, 2009 DOI: 10.1007/s11203-008-9031-6 arXiv / **[8]**

**Asymptotic Properties of the Maximum Likelihood Estimator for Stochastic Parabolic Equations with Additive Fractional Brownian Motion** (with Sergey V. Lototsky and Jan Pospisil) Stochastics and Dynamics, Vol. 9, No. 2, pp. 169-185, 2009 DOI: 10.1142/S0219493709002610 arXiv / **[7]**

**On the point spectrum of the perturbed differential operators with periodic coefficients**, Int. J. Pure Appl. Math., vol. 50, No. 1, pp. 63-76, 2009 PDF**,** arXiv / **[6]**

**The Reaction of Term Structure of Interest Rates to the Monetary Policy Actions** (with Levon Goukasian) Journal of Fixed Income, vol 16, 2, pp. 76-91, Fall 2006 DOI: 10.3905/jfi.2006.656011 SSRN / **[5]**

**Finiteness of the point spectrum of some nonselfadjoint operators close to the operators generated by Jacobi matrices** (with Petru Cojuhari) Bul. Acad. Stiinte Repub. Mold. Mat., 3(28), pp. 65-70, 1998 PDF / **[4]**

**On the point spectrum of nonselfadjoint perturbed operators of Wiener-Hopf type**, Mathematical analysis and applications, Scientific Annals of University A.I.Cuza, Iasi, v.XLIV, pp. 485-496, 1998 PDF / **[3]**

**On the nonselfadjoint perturbations of the Wiener-Hopf integral operators**, Operator theoretical methods (Timisoara), Theta Found., Bucharest, pp. 87-95, 2000 PDF / **[2]**

**Finiteness of eigenvalues of some integro-differential operators** (with Marius M. Stanescu) Bul. Acad. Stiinte Repub. Mold. Mat., 2(27), pp. 117-119, 1998 PDF / **[1]**