Michael I. Taksar

University of Missouri at Columbia - Department of Mathematics (Deceased)

State University of New York (SUNY), Stony Brook, College of Engineering and Applied Sciences, Department of Applied Mathematics and Statistics (Deceased)

SCHOLARLY PAPERS

29

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29

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54

Scholarly Papers (29)

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1.

Optimal Risk/Dividend Distribution Control Models: Applications to Insurance

Downloads 625 ( 53,556)
Citation 1

Optimal Risk/Dividend Distribution Control Models: Applications to Insurance

SFB 303 Working Paper No. B - 455
Number of pages: 45 Posted: 27 Aug 2000
Michael I. Taksar
University of Missouri at Columbia - Department of Mathematics (Deceased)
Downloads 625 (52,881)
Citation 1

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Stochastic Control, Optimization, Reinsurance

Optimal Risk/Dividend Distribution Control Models: Applications to Insurance

Posted: 03 May 2001
Michael I. Taksar
University of Missouri at Columbia - Department of Mathematics (Deceased)

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Stochastic Control, Optimization, Reinsurance

2.

A Note on Merton's 'Optimum Consumption and Portfolio Rules in a Continuous-Time Model'

Journal of Economic Theory, Vol. 46, No. 2, pp. 395-401, 1988
Number of pages: 11 Posted: 17 Jan 2008 Last Revised: 29 Mar 2014
Suresh Sethi and Michael I. Taksar
University of Texas at Dallas - Naveen Jindal School of Management and University of Missouri at Columbia - Department of Mathematics (Deceased)
Downloads 416 (88,181)
Citation 9

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Consumption/portfolio problem, investment-consumption problem, dynamic programming, stochastic control, R. C. Merton

3.

A Stochastic Volatility Model and Optimal Portfolio Selection

Number of pages: 25 Posted: 23 Oct 2012
Xudong Zeng and Michael I. Taksar
Shanghai University of Finance and Economics, School of Finance and University of Missouri at Columbia - Department of Mathematics (Deceased)
Downloads 283 (135,115)

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Optimal portfolio, HJB equation, Stochastic volatility, HARA utility, Heston model, Square-root process

4.

Capacity and Production Decisions in Stochastic Manufacturing Systems: An Asymptotic Optimal Hierarchical Approach

Production and Operations Management, Vol. 1, No. 4, pp. 367-392, Fall 1992
Number of pages: 26 Posted: 12 Feb 2008
Michael I. Taksar, Qing Zhang and Suresh Sethi
University of Missouri at Columbia - Department of Mathematics (Deceased), University of Georgia - Department of Mathematics and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 101 (324,541)

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Hierarchical Decision Making, Capacity Expansion, Production Planning, Dynamic Progrramming, Markov Processes, Near-Optimal Decisions

5.

Capital Growth under Transaction Costs: An Analysis Based on the Von Neumann-Gale Model

Swiss Finance Institute Research Paper No. 08-07
Number of pages: 18 Posted: 30 Apr 2008
Wael Bahsoun, Igor V. Evstigneev and Michael I. Taksar
University of Manchester, University of Manchester - Economics, School of Social Sciences and University of Missouri at Columbia - Department of Mathematics (Deceased)
Downloads 85 (361,799)

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capital growth theory, transaction costs, numeraire portfolios, random dynamical systems, convex multivalued operators, von Neumann-Gale model, rapid paths

6.

Inventory Models with Markovian Demands and Cost Functions of Polynomial Growth

Journal of Optimization Theory and Applications, Vol. 98, No. 2, pp. 281-323, August 1998
Number of pages: 36 Posted: 14 Feb 2008 Last Revised: 21 Apr 2008
Dirk Beyer, Suresh Sethi and Michael I. Taksar
M-Factor, Inc., University of Texas at Dallas - Naveen Jindal School of Management and University of Missouri at Columbia - Department of Mathematics (Deceased)
Downloads 58 (444,860)
Citation 2

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Dynamic inventory models - Markov chains - dynamic programming, finite horizon, infinite horizon , cyclic demand, (s, S)-policy, inventory models, Markov process, cost with polynomial growth, average cost, ergodic problem, base-stockpolicy, incomplete information, partial observations

7.

Optimal Consumption and Investment Policies with Bankruptcy Modelled by a Diffusion with Delayed Reflection

Number of pages: 10 Posted: 11 Jan 2010 Last Revised: 14 Jan 2010
Suresh Sethi and Michael I. Taksar
University of Texas at Dallas - Naveen Jindal School of Management and University of Missouri at Columbia - Department of Mathematics (Deceased)
Downloads 38 (529,203)

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Consumption and Investment problem, Portfolio and Consumption problem, bankruptcy, stochastic optimal control, nonterminal bankruptcy, delayed reflection, dynamic programming

8.

Infinite-Horizon Investment Consumption Model with a Nonterminal Bankruptcy

Journal of Optimization Theory and Applications, Vol. 74, No. 2, pp. 333-346, August 1992, Optimal Consumption and Investment with Bankruptcy, Chapter 4, pp. 67-84, Kluwer Academic Press, 1997
Number of pages: 22 Posted: 19 Feb 2008 Last Revised: 12 Jan 2010
Suresh Sethi and Michael I. Taksar
University of Texas at Dallas - Naveen Jindal School of Management and University of Missouri at Columbia - Department of Mathematics (Deceased)
Downloads 36 (539,224)
Citation 3

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Consumption and investment, bankruptcy, infinite-horizon problems, diffusion with delayed reflection, stochastic optimal control, nonterminal bankruptcy

9.

Explicit Solution of a General Consumption/Portfolio Problem with Subsistence Consumption and Bankruptcy

Journal of Economic Dynamics and Control, Vol. 16, No. 3-4, pp. 747-768, 1992.
Number of pages: 22 Posted: 15 Jan 2008 Last Revised: 26 Apr 2014
Suresh Sethi, Michael I. Taksar and Ernst Presman
University of Texas at Dallas - Naveen Jindal School of Management, University of Missouri at Columbia - Department of Mathematics (Deceased) and Russian Academy of Sciences (RAS)
Downloads 34 (549,777)
Citation 1

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Consumption/portfolio problem, investment-consumption problem, dynamic programming, stochastic control, subsistence consumption, bankruptcy

10.

Optimal Financing of a Corporation Subject to Random Returns

Mathematical Finance, Vol. 12, pp. 155-172, 2002
Number of pages: 18 Posted: 06 Feb 2003
Suresh Sethi and Michael I. Taksar
University of Texas at Dallas - Naveen Jindal School of Management and University of Missouri at Columbia - Department of Mathematics (Deceased)
Downloads 31 (566,076)
Citation 1
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11.

Classical and Impulse Stochastic Control for the Optimization of the Dividend and Risk Policies of an Insurance Firm

Mathematical Finance, Vol. 16, No. 1, pp. 181-202, January 2006
Number of pages: 22 Posted: 21 Jun 2006
Abel Cadenillas, Tahir Choulli, Michael I. Taksar and Lei Zhang
University of Alberta - Department of Mathematical and Statistical Sciences, University of Alberta - Department of Mathematical and Statistical Sciences, University of Missouri at Columbia - Department of Mathematics (Deceased) and City University of Hong Kong
Downloads 29 (577,752)
Citation 4
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12.

On the Fundamental Theorem of Asset Pricing: Random Constraints and Bang-Bang No-Arbitrage Criteria

Number of pages: 21 Posted: 06 May 2004
Igor V. Evstigneev, Klaus Schurger and Michael I. Taksar
University of Manchester - Economics, School of Social Sciences, University of Bonn - Department of Statistics and University of Missouri at Columbia - Department of Mathematics (Deceased)
Downloads 13 (688,850)
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No-arbitrage criteria, portfolio constraints, supermartingale measures, bang-bang control

13.

Hierarchical Capacity Expansion and Production Planning Decisions in Stochastic Manufacturing Systems

Journal of Operations Management, Vol. 12, No. 3-4, pp. 331-352, June 1995
Number of pages: 22 Posted: 19 Feb 2008 Last Revised: 31 Jan 2019
Suresh Sethi, Michael I. Taksar and Qing Zhang
University of Texas at Dallas - Naveen Jindal School of Management, University of Missouri at Columbia - Department of Mathematics (Deceased) and University of Georgia - Department of Mathematics
Downloads 10 (712,169)

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Stochastic manufacturing systems, Hierarchical decisions, Capacity expansion,Production planning, Dynamic programming,Asymptotic optimality, Markov process, Singular perturbations, Near optimality, Strategic decisions, Operationa decisions, Decentralization

14.

Hierarchical Decomposition of Production and Capacity Investment Decisions in Stochastic Manufacturing Systems

International Transactions in Operational Research, Vol. 1, No. 4, pp. 435-451, 1994
Number of pages: 17 Posted: 15 Jan 2008 Last Revised: 14 May 2019
Suresh Sethi, Michael I. Taksar and Qing Zhang
University of Texas at Dallas - Naveen Jindal School of Management, University of Missouri at Columbia - Department of Mathematics (Deceased) and University of Georgia - Department of Mathematics
Downloads 8 (727,962)

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production, inventory, investment, capital budgeting, planning, optimization; control; systems, Markov, dynamic programming

15.

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

Discrete Event Dynamic Systems: Theory and Applications, 8, 1998, 37-54
Number of pages: 21 Posted: 06 May 2020
Suresh Sethi, Wulin Suo, Michael I. Taksar and Houmin Yan
University of Texas at Dallas - Naveen Jindal School of Management, Queen's University - Smith School of Business, University of Missouri at Columbia - Department of Mathematics (Deceased) and City University of Hong Kong (CityUHK) - Faculty of Business
Downloads 7 (735,832)
Citation 1

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Production planning, stochastic dynamic programming, vanishing discount approach, optimal control, long-run average cost

16.

Deterministic Equivalent for a Continuous-Time Linear-Convex Stochastic Control Problem

Journal of Optimization Theory and Applications, Vol. 64, No. 1, pp. 169-181, January 1990
Number of pages: 13 Posted: 21 Jun 2009 Last Revised: 11 May 2017
Suresh Sethi and Michael I. Taksar
University of Texas at Dallas - Naveen Jindal School of Management and University of Missouri at Columbia - Department of Mathematics (Deceased)
Downloads 7 (735,832)

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Stochastic control problems, linear-convex optimal control problems, Brownian motion, control process of bounded variation, Green's theorem approach

17.

An Asymptotic Analysis of Hierarchical Control of Manufacturing Systems Under Uncertainty

Mathematics of Operations Research, Vol. 16, No. 3, pp. 596-608, 1991
Number of pages: 14 Posted: 26 Feb 2008 Last Revised: 09 May 2017
John P. Lehoczky, Suresh Sethi, Halil Mete Soner and Michael I. Taksar
Carnegie Mellon University, University of Texas at Dallas - Naveen Jindal School of Management, Koc University - College of Administrative Sciences and Economics and University of Missouri at Columbia - Department of Mathematics (Deceased)
Downloads 6 (743,751)
Citation 4

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effects of breakdowns, hierarchical control, Manufacturing systems, optimal control,stochastic machine availability, asymptotic analysis, production planning

18.

Optimal Financing of a Corporation Subject to Random Returns: A Summary

Proceedings of 41st IEEE CDC, Las Vegas, NV, December 10-13, 2002, 395-397
Number of pages: 3 Posted: 17 Jun 2020
Suresh Sethi and Michael I. Taksar
University of Texas at Dallas - Naveen Jindal School of Management and University of Missouri at Columbia - Department of Mathematics (Deceased)
Downloads 5 (751,636)
Citation 1

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Equations, Stochastic processes, Diffusion processes, Costs, Uncertainty, Environmental economics, Upper bound, Mathematics, Statistics, Electronic mail

19.

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

Mathematics of Operations Research, Vol. 20, No. 4, pp. 895-922, 1995.
Number of pages: 28 Posted: 26 Feb 2008 Last Revised: 11 May 2017
Elena Krichagina, Sheldon Lou, Suresh Sethi and Michael I. Taksar
Independent, Independent, University of Texas at Dallas - Naveen Jindal School of Management and University of Missouri at Columbia - Department of Mathematics (Deceased)
Downloads 5 (751,636)

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Diffusion approximation, production control, average cost minimization, heavy traffic, Stochastic manufacturing systems, optimal control, asymptotic optmality, singular stochastic control

20.

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

Journql of Optimization Theory and Applications, Vol. 92, No. 1, pp. 161-188, January 1997
Number of pages: 28 Posted: 21 Jun 2009 Last Revised: 31 Jan 2019
Suresh Sethi, Wulin Suo, Michael I. Taksar and Qing Zhang
University of Texas at Dallas - Naveen Jindal School of Management, Queen's University - Smith School of Business, University of Missouri at Columbia - Department of Mathematics (Deceased) and University of Georgia - Department of Mathematics
Downloads 3 (767,279)
Citation 2

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Production planning, stochastic dynamic programming, vanishing discount approach, optimal control, long-run average cost

21.

Deterministic and Stochastic Control Problems with Identical Optimal Cost Functions

Analysis and Optimization of Systems, A. Bensoussan and J. L. Lions (Eds.), Lecture Notes in Control and Information Sciences, Springer-Verlag, New York, 1988, 641-645
Posted: 17 Jun 2020
Suresh Sethi and Michael I. Taksar
University of Texas at Dallas - Naveen Jindal School of Management and University of Missouri at Columbia - Department of Mathematics (Deceased)

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Finite Horizon, Stochastic Model, Deterministic Problem

22.

An Asymptotic Analysis of Hierarchical Control of Manufacturing Systems

Proceedings of the 27th IEEE Conference on Decision and Control, Austin, Texas, Dec. 7-9, 1988, 1856-1857
Posted: 04 Jun 2020
Halil Mete Soner, John P. Lehoczky, Suresh Sethi and Michael I. Taksar
Koc University - College of Administrative Sciences and Economics, Carnegie Mellon University, University of Texas at Dallas - Naveen Jindal School of Management and University of Missouri at Columbia - Department of Mathematics (Deceased)

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asymptotic analysis, hierarchical control

23.

Minimum Average-Cost Froduction Plan in a Multi-Product Stochastic Manufacturing System

Proceedings of the 1996 IEEE Conference on Emerging Technologies and Factory Automation, Kauai,HI, November 18-21, 1996, 361-365
Posted: 06 May 2020
Suresh Sethi, Wulin Suo, Michael I. Taksar and Houmin Yan
University of Texas at Dallas - Naveen Jindal School of Management, Queen's University - Smith School of Business, University of Missouri at Columbia - Department of Mathematics (Deceased) and City University of Hong Kong (CityUHK) - Faculty of Business

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Production planning, stochastic dynamic programming, vanishing discount approach, optimal control, long-run average cost

24.

Production Control in a Failure-Prone Manufacturing System: Diffusion Approximation and Asymptotic Optimality

The Annals of Applied Probability, 3(2), 1993, 421-453
Posted: 06 May 2020
Elena Krichagina, Sheldon Lou, Suresh Sethi and Michael I. Taksar
Independent, Independent, University of Texas at Dallas - Naveen Jindal School of Management and University of Missouri at Columbia - Department of Mathematics (Deceased)

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Diffusion Approximation, stochastic manufacturing system

25.

Hierarchical Investment and Production Decisions in Stochastic Manufacturing Systems

Stochastic Theory and Adaptive Control, T. Duncan and B. Pasik-Duncan (Eds.), Springer-Verlag, New York 1992, 426-435
Posted: 06 May 2020
Suresh Sethi, Michael I. Taksar and Qing Zhang
University of Texas at Dallas - Naveen Jindal School of Management, University of Missouri at Columbia - Department of Mathematics (Deceased) and Department of Mathematics, University of Georgia

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Original Problem, Admissible Control, Production Decision, Hierarchical Control, Asymptotic Optimality

26.

Markovian Demand Inventory Models

International Series in Operations Research and Management Science, Vol. 108, 2010
Posted: 18 Jan 2010
Dirk Beyer, Feng Cheng, Suresh Sethi and Michael I. Taksar
M-Factor, Inc., IBM Research, University of Texas at Dallas - Naveen Jindal School of Management and University of Missouri at Columbia - Department of Mathematics (Deceased)

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Inventory model, dynamic programming, Markovian demand, discounted cost models, average cost models, Basestock policy, (s,S) policy, state-dependent

27.

A Verification Theorem in General Equilibrium Model of Asset Prices

STOCHASTIC ANALYSIS, CONTROL, OPTIMIZATION, AND APPLICATIONS: A VOLUME IN HONOR OF WENDELL FLEMING, 1996
Posted: 29 Aug 2009
Chi-fu Huang, Michael I. Taksar and Steven H. Zhu
Long Term Capital Management, University of Missouri at Columbia - Department of Mathematics (Deceased) and Bank of America

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Optimal Control, Differential Games, Stochastic Calculation and Optimization

28.

Producing in a Manufacturing System with Minimum Average Cost

Nonlinear Analysis, Theory, Methods & Applications, Vol. 30, No. 7. pp. 4357-4363, 1997
Posted: 21 Jun 2009 Last Revised: 31 Jan 2019
Suresh Sethi, Wulin Suo, Michael I. Taksar and Qing Zhang
University of Texas at Dallas - Naveen Jindal School of Management, Queen's University - Smith School of Business, University of Missouri at Columbia - Department of Mathematics (Deceased) and University of Georgia - Department of Mathematics

Abstract:

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Production planning, stochastic dynamic programming, vanishing discount approach, optimal control, long-run average cost

29.

Optimal Risk Control and Dividend Distribution Policies. Example of Excess-Of Loss Reinsurance for an Insurance Corporation

Posted: 27 Jun 2000
Soren Asmussen, Bjarne Hojgaard and Michael I. Taksar
Lund University - Department of Mathematical Statistics, Aalborg University and University of Missouri at Columbia - Department of Mathematics (Deceased)

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