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

22

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17

Scholarly Papers (22)

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1.

Optimal Risk/Dividend Distribution Control Models: Applications to Insurance

Downloads 615 ( 41,829)
Citation 12

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 615 (41,235)
Citation 12

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Stochastic Control, Optimization, Reinsurance

Optimal Risk/Dividend Distribution Control Models: Applications to Insurance

Mathematical Methods of Operations Research, 1, 2000
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 337 (87,518)
Citation 3

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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 246 (122,560)
Citation 2

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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 99 (263,411)
Citation 1

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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 83 (294,489)

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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 55 (367,088)
Citation 8

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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 35 (438,916)

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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 32 (451,669)

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

9.

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 30 (461,033)
Citation 8
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10.

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 28 (470,695)
Citation 12

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

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 University of Queensland - Business School
Downloads 28 (470,695)
Citation 5
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12.

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

Mathematical Finance, Vol. 14, No. 2, pp. 201-221, April 2004
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 (555,423)
Citation 3
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No-arbitrage criteria, portfolio constraints, supermartingale measures, bang-bang control

13.

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 (586,115)

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

14.

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 6 (598,786)

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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

15.

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 4 (612,143)

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

16.

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 4 (612,143)

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

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 3 (620,064)
Citation 1

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

18.

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, Smith School of Business, University of Missouri at Columbia - Department of Mathematics (Deceased) and University of Georgia - Department of Mathematics
Downloads 1 (642,649)
Citation 16

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

19.

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

20.

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 Banc of America Merrill Lynch

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Optimal Control, Differential Games, Stochastic Calculation and Optimization

21.

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, Smith School of Business, University of Missouri at Columbia - Department of Mathematics (Deceased) and University of Georgia - Department of Mathematics

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

22.

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

Finance and Stochastics, Vol. 4, Issue 3, 2000
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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