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Łukasz Stettner · Study

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Łukasz Stettner

11 works· latest 2020· 2 institutionscluster: provisionalORCID 0000-0002-7441-9002

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i1011

Citations289

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Most cited in this library

Approximations of discrete time partially observed control problems1994 · 47 citations
Risk sensitive portfolio optimization1999 · 41 citations
Finite Horizon Optimal Stopping of Time-Discontinuous Functionals with Applications to Impulse Control with Delay2010 · 32 citations
Option Pricing in Discrete‐Time Incomplete Market Models2000 · 27 citations
Option pricing in the CRR model with proportional transaction costs: a cone transformation approach1997 · 26 citations

Works

11 shown

Zero-Sum Markov Games with Impulse Controls

SIAM Journal on Control and Optimization·2020·2 authors·Open access

19citations

Impulse Control Maximizing Average Cost per Unit Time: A Nonuniformly Ergodic Case

SIAM Journal on Control and Optimization·2017·2 authors·Open access

18citations

Penalty Method for Finite Horizon Stopping Problems

SIAM Journal on Control and Optimization·2011·1 author

23citations

Finite Horizon Optimal Stopping of Time-Discontinuous Functionals with Applications to Impulse Control with Delay

SIAM Journal on Control and Optimization·2010·2 authors

32citations

Impulsive Control of Portfolios

Applied Mathematics & Optimization·2007·2 authors

18citations

On the Existence of Optimal Portfolios for the Utility Maximization Problem in Discrete Time Financial Market Models

Springer eBooks·2006·2 authors·chapter

17citations

Option Pricing in Discrete‐Time Incomplete Market Models

Mathematical Finance·2000·1 author

27citations

Risk sensitive portfolio optimization

Mathematical Methods of Operations Research·1999·1 author

41citations

Option pricing in the CRR model with proportional transaction costs: a cone transformation approach

Applicationes Mathematicae·1997·1 author·Open access

26citations

Approximations of discrete time partially observed control problems

·1994·2 authors·book

47citations

Strong envelopes of stochastic processes and a penalty method †

Stochastics·1981·2 authors

21citations