£ukasz Stettner, Professor

Probability Section
Institute of Mathematics, Polish Academy of Sciences
¦niadeckich 8, Office 318, 00-956 Warsaw, Poland
e-mail

phone (office): +48 22 52 28 126

Curriculum Vitae
Publications


PUBLICATIONS
Papers
Monographs
Introductory papers
Non-published preprints
Conference reports

 

PAPERS:

[1]  £. Stettner and J. Zabczyk
Strong Envelopes of Stochastic Processes and a Penalty Method
Stochastics 4 (1981), 267 - 280
[2]  £. Stettner
Zero-sum Markov Games with Stopping and Impulsive Strategies
J. Appl. Math. Optimiz. 9 (1982), 1 - 24
[3]  £. Stettner
On a General Zero-sum Stochastic Game with Optimal Stopping
Probability and Mathematical Statistics 3 (1982), 103 - 112
[4]  £. Stettner
On Impulsive Control with Long Run Average Cost Criterion
Studia Math. 76 (1983), 279 - 298
[5]  £. Stettner
On Ergodic Control Problems Associated with Optimal Maintenance and Inspection
Proc. 11th IFIP Conf. on System Modelling and Optimization, Copenhagen 1983, Lecture Notes in Control Inf. Sci. 59, Springer 1984, 433 - 442
[6]  £. Stettner
On Closedness of General Zero-sum Stopping Game
Bull. Polish Acad. Sci. 32 (1984), 351 - 361
[7]  G. Mazziotto, £. Stettner, J. Szpirglas, J. Zabczyk
On Impulse Control with Partial Observation
SIAM J. Control Optimiz. 26 No.4 (1988), 964 - 984
[8]  £. Stettner
Discrete Time Adaptive Impulsive Control Theory
Stoch. Processes and their Appl. 23 (1986), 177 - 197
[9]  £. Stettner
On Continuous Time Adaptive Impulsive Control
Proc. 12th IFIP Conf. on System Modelling and Optimization, Budapest 1985, Lecture Notes in Control Inf. Sci. 84, Springer 1986, 913 - 922
[10]  £. Stettner
On the Poisson Equation and Optimal Stopping of Ergodic Markov Processes
Stochastics 18 (1986), 25 - 48
[11]  £. Stettner
On Ergodic Impulsive Control Problems
Stochastics 18 (1986), 49 - 72
[12]  £. Stettner
On the Existence of an Optimal per Unit Time Control for a Degenerate Diffusion Model
Bull. Polish Acad. Sci. 34 (1986), 749 - 769
[13]  £. Stettner
On Ergodic Impulsive Control for Non-uniformly Ergodic Markov Processes
J. Appl. Math. Optimiz. 19 (1989), 75 - 95
[14]  T. Bielecki and £. Stettner
On some Problems Arising in Asymptotic Analysis of Markov Processes with Singularly Perturbed Generators
Stochastic Analysis and Appl. 6 (2) (1988), 129 - 168
[15]  £. Stettner
Large Deviations of Invariant Measures for Degenerate Diffusions
Probability and Mathematical Statistics 10 (1989), 93 - 105
[16]  £. Stettner
On Some Stopping and Impulsive Control Problems with a General Discount Rate Criteria
Probability and Mathematical Statistics 10 (1989), 223 - 245
[17]  £. Stettner
On Invariant Measures of Filtering Processes
Proc. 4th Bad Honnef Conf. on Stochastic Differential Systems, Ed. N. Christopeit, K. Helmes, M. Kohlmann, Lect. Notes in Control Inf. Sci. 126, Springer 1989, 279 - 292
[18]  T. Bielecki and £. Stettner
On Ergodic Control Problems of Singularly Perturbed Markov Processes
J. Appl. Math, Optimiz. 20 (1989), 131 - 161
[19]  W. J. Runggaldier and £. Stettner
On the Construction on Nearly Optimal Strategies for a General Problem of Control of Partially Observed Diffusions
Stochastics and Stochastics Reports 37 (1991), 15 - 47
[20]  £. Stettner
Invariant Measures of the State-Approximating Filtering Process
Colloquium Mathematicum 62 (1991), 347 - 351
[21]  D. G±tarek and £. Stettner
On the compactness Method in General Ergodic Impulsive Control of Markov Processes
Stochastics and Stochastics Reports 31 (1990), 15 - 26
[22]  W. J. Runggaldier and £. Stettner
Nearly Optimal Controls for Stochastic Ergodic Problems with Partial Observation
SIAM J. Control Optimiz. 31 (1993), 180 - 218
[23]  £. Stettner
On Nearly Selfoptimizing Strategies for a Discrete Time Uniformly Ergodic Adaptive Model
J. Applied Math. Optimiz. 27 (1993), 161 - 177
[24]  G. Di Masi and £. Stettner
On Adaptive Control of a Partially Observed Markov Chain
Applicationes Mathematicae 22.2 (1994), 165 - 180
[25]  T. Duncan, B. Pasik-Duncan, £. Stettner
Almost Self-Optimizing Strategies for the Adaptive Control of Diffusion Processes
JOTA 81 (1994), 479 - 507
[26]  T. Duncan, B. Pasik-Duncan, £. Stettner
On the Ergodic and the Adaptive Control of Stochastic Differential Delay Equations
JOTA 81 (1994), 509 - 531
[27]  £. Stettner
On Adaptive Control of a Singularly Perturbed Diffusion
Proc. Stochastic Theory and Adaptive Control, Ed. T. E. Duncan, B. Pasik-Duncan, Lect. Notes in Control Inf. Sci. 184, Springer 1992, 457 - 471
[28]  £. Stettner
Ergodic Control of Partially Observed Markov Processes with Equivalent Transition Probabilities
Applicationes Mathematicae 22.1 (1993), 25 - 38
[29]  £. Stettner
Ergodic Control of Markov Processes with Mixed Observation Structure
Dissertationes Mathematicae 341 (1995), 1 - 35
[30]  T. Duncan, B. Pasik-Duncan, £. Stettner
Adaptive Control of a Partially Observed Discrete Time Markov Process
JAMO 37 (1998), 269 - 293
[31]  £. Stettner
Remarks on Ergodic Conditions for Markov Processes on Polish Spaces
Bull. Polish Acad. Sci. 42 (1994), 103 - 114
[32]  T. Duncan, B. Pasik-Duncan, £. Stettner
Discretized Maximum Likelihood and Almost Optimal Adaptive Control of Ergodic Markov Models
SIAM J. Control Optimiz. 36 (1998), 422 - 446
[33]  T. Bielecki, £. Stettner
Ergodic Control of Singularly Perturbed Discrete Time Markov Processes
JAMO 38 (1988), 261 - 281
[34]  G. Di Masi, £. Stettner
Bayesian ergodic adaptive control of discrete time Markov processes
Stochastics and Stochastics Reports 54 (1995), 301 - 316
[35]  T. Duncan, B. Pasik-Duncan, £. Stettner
On ergodic control of stochastic evolution equations
Stoch. Anal. Appl. 15 (1997), 723 - 750
[36]  £. Stettner
Adaptive Control of Semilinear Stochastic Evolution Equations
Modelling and Optimization of Distributed Parameter Systems, Ed. K. Malanowski, Z. Nahorski and M. Peszyńska, Chapman & Hall 1996, 278 - 286
[37]  G. B. Di Masi, £. Stettner
Bayesian adaptive control of discrete-time Markov processes with long run average cost
Systems and Control Letters 34 (1998), 55 - 62
[38]  G. B. Di Masi, £. Stettner
Bayesian ergodic adaptive control of diffusion processes
Stochastics and Stochastics Reports 60 (1997), 155 - 183
[39]  T. Duncan, B. Pasik-Duncan, £. Stettner
Adaptive control of discrete time Markov processes by large deviations method
Applicationes Mathematicae 27.3 (2000), 265 - 285
[40]  £. Stettner
Option pricing in the CCR model with proportional transaction costs: a cone transformation approach
Applicationes Mathematicae 24.4 (1997), 475 - 514
[41]  M. Motoczynski, £. Stettner
On multidimensional Cox-Ross-Rubinstein model
Applicationes Mathematicae 25.1 (1998), 55 - 72
[42]  R. Bobryk, £. Stettner
Stabilization of two-dimensional linear systems by Gaussian noise
Bull. Polish Acad. Sci. 46 (1998), 91 - 103
[43]  G. B. Di Masi, £. Stettner
Risk sensitive control of discrete time Markov processes with infinite horizon
SIAM J. Control Optimiz. 38 (2000), 61 - 78
[44]  R. Bobryk, £. Stettner
Mean Square Stabilization of Linear Systems by Mean Zero Noise
Stochastics and Stochastics Rep. 67 (1999), 169 - 189
[45]  G. B. Di Masi, £. Stettner
Risk sensitive control of discrete time partially observed Markov processes with infinite horizon
Stochastics and Stochastics Rep. 67 (1999), 309 - 322
PS file
[46]  K. £azarski, £. Stettner
Average cost per unit time control of discrete time unreliable manufacturing systems with Markov demand
Math. Methods of Oper. Res. 49 (1999), 457 - 473
[47]  T. Duncan, B. Pasik-Duncan, £. Stettner
Risk sensitive adaptive control of discrete time Markov processes
Prob. Math. Statistics 21 (2001), 493 - 512
[48]  R. V. Bobryk, £. Stettner
Stabilizing influence of random parametric perturbations of unstable linear systems
Mathematical Methods and Physicomechanical Fields 40 (1997), 116 - 118
[49]  E. Drabik, £. Stettner
On adaptive control of Markov chains using nonparametric estimation
Applicationes Math. 27.2 (2000), 143 - 152
[50]  R. V. Bobryk, £. Stettner
Discrete time portfolio selection with proportional transaction costs
Prob. Math. Statistics 19 (1999), 235 - 248
PS file
[51]  £. Stettner
Risk sensitive portfolio optimization
Math. Methods of Oper. Res. 50 (1999), 463 - 474
PS file
[52]  G. B. Di Masi, £. Stettner
Infinite horizon risk sensitive control of discrete time Markov processes with small risk
Systems and Control Letters 40 (2000), 15 - 20
[53]  £. Stettner
Option pricing in discrete time incomplete market models
Math. Finance 10 (2000), 305 - 321
[54]  G. B. Di Masi, £. Stettner
Risk sensitive control of an ergodic diffusion over an infinite horizon
Proc. Seminar on Stability Problems for Stochastic Models, Part I (Naleczow 1999), Journal Math. Sci. (New York) 105, no. 6, 2541 - 2549
[55]  T. Duncan, B. Pasik-Duncan, £. Stettner
Average cost per unit time control of manufacturing systems - revisited
Math. Meth. Oper. Res. 54 (2001), 259 - 278
PS file
[56]  R. Sadowy, £. Stettner
On risk sensitive ergodic impulsive control of Markov processes
JAMO 45 (2002), 45 - 61
[57]  R. Bobryk, £. Stettner
A closure method for randomly perturbed linear systems
Demonstratio Mathematica 34 (2001), 415 - 424
[58]  R. Bodnar, £. Stettner
Asymptotics of controlled finite memory filters
Systems and Control Letters 47 (2002), 181 - 190
PS file
[59]  £. Stettner
Discrete Time Markets with Transaction Costs
Recent Developments in Mathematical Finance, ed. J. Yong, World Scientific 2002, 168 - 180
PS file
[60]  £. Stettner
Bayesian adaptive control of discrete time partially observed Markov processes
Proc. Stochastic Theory and Control Workshop, Lawrence 2001, Lecture Notes in Control Inf. Sci. 280, 435 - 446
[61]  R. Bobryk, £. Stettner
Mean square stability of linear systems with a random parametric excitation
Systems Control Letters 54 (2005), 781 - 786
PDF file
[62]  T. Duncan, B. Pasik-Duncan, £. Stettner
Ergodic and Adaptive Control of Hidden Markov Models
Math. Meth. Oper. Res. 62 (2005), 297 - 318
PS file
[63]  £. Stettner
Risk Sensitive Portfolio Optimization with Completely and Partially Observed Factors
IEEE Trans. Automat. Control 49 (2004), 457 - 464
PS file
[64]  M. Rasonyi, £. Stettner
On utility maximization in discrete - time market models
Annals of Applied Prob. 15 (2005), 1367 - 1395
PDF file
[65]  G. Di Masi, £. Stettner
Ergodicity of Hidden Markov Models
Math. Control Signals Systems 17 (2005), 269 - 296
PS file
[66]  £. Stettner
Duality and risk sensitive portfolio optimization
Proc. AMS-IMS-SIAM Summer Research Conference on Mathematics of Finance, Snowbird, Utah 2003, ed. G. Yin and Q. Zhang, Contemporary Mathematics 351, AMS 2004, 333 - 347
PS file
[67]  M. Rasonyi, £. Stettner
On the existence of optimal portfolios for the utility maximization problem in discrete time financial market models
From Stochastic Calculus to Mathematical Finance, The Shiryaev Festschrift, Ed. Yu. Kabanov, R. Liptser, J. Stoyanov, Springer 2006, 589 - 608
PDF file
[68]  R. V. Bobryk, A. Chrzeszczyk, L. Stettner
A closure Procedure for Random Vibration Parametric Resonances
Journal of Vibration and Control 11 (2005), 215 - 223
[69]  G. B. Di Masi, £. Stettner
Infinite horizon risk sensitive control of discrete time Markov processes under minorization property
SIAM J. Control Optimiz. 46 (2007), 231 - 252
PDF file
[70]  G. B. Di Masi, £. Stettner
Remarks on risk neutral and risk sensitive portfolio optimization
From Stochastic Calculus to Mathematical Finance, The Shiryaev Festschrift, Ed. Yu. Kabanov, R. Liptser, J. Stoyanov, Springer 2006, 211 - 226
PDF file
[71]  J. Palczewski, £. Stettner
Impulse control of portfolios
Appl. Math. Optim. 56 (2007), 67 - 103
[72]  G. B. Di Masi, £. Stettner
On Adaptive and Multiplicative (Controlled) Poisson Equations
Approximation and Probability, Banach Center Publications 72 (2006), 57 - 70
PDF file
[73]  £. Stettner
Discrete time risk sensitive portfolio optimization with consumption and proportional transaction costs
Applicationes Math. 32.4 (2005), 395 - 404
[74]  J. Palczewski, £. Stettner
Maximization of the portfolio growth rate under fixed and proportional transaction costs
Communications in Information and Systems 7 (2007), 31 - 58
[75]  G. Di Masi, £. Stettner
Ergodicity of filtering process by vanishing discount approach
Systems and Control Letters 57 (2008), 150 - 157
[76]  J. Palczewski, £. Stettner
Growth-optimal portfolios under transaction costs
Applicationes Mathematicae, to appear
[77]  £. Stettner
Discrete Time Infinite Horizon Risk Sensitive Portfolio Selection with Proportional Transaction Costs
Banach Center Publications, to appear
[78]  £. Stettner
Long time growth optimal portfolio with transaction costs
volume dedicated to 60th birthday of Yu. Kabanov, submitted
[79]  £. Stettner
Problems of mathematical finance by stochastic control methods
Proc. 23rd IFIP TC7 Conference on System Modelling and Optimization, Cracow, July 23-27, 2007

MONOGRAPHS:

[1]  W. Runggaldier, £. Stettner
Approximations of Discrete Time Partially Observed Control Problems
Applied Mathematics Monographs CNR, Giardini Editori, Pisa 1994
Text of the book
[2]  J. Jakubowski, A. Palczewski, M. Rutkowski, £. Stettner
Matematyka Finansowa, Instrumenty pochodne
WNT 2003 (in Polish)

INTRODUCTORY PAPERS:

[1]  £. Stettner
Matematyka finansowa - chwilowa moda, czy teæ nowe wyzwanie dla matematyki stosowanej?
cz. I, Gradient 2/47 (1999), 77 - 85,
cz. II, Gradient 3/48 (1999), 152 - 160
[2]  £. Stettner
Ryzyko na rynku. Jak zmniejszaę ryzyko inwestycji finansowych
Academia 3(11) 2007, 28 - 31
eng. version: £. Stettner
Risk and the Market. Lowering the risk of financial investments
Academia 3(15) 2007, 28 - 31
[3]  £. Stettner
Kongres ICIAM 2007 - wraæenia uczestnika
Matematyka Stosowana 8 (2007), 163 - 164

NON-PUBLISHED PREPRINTS:

[1]  £. Stettner and J. Zabczyk
Optimal Stopping for Feller Markov Processes
Preprint No. 284 IMPAN, Warsaw 1983
[2]  £. Stettner
On Ergodic Decomposition of Feller Markov Processes
LCDS Report March 1986, Brown University, Providence
[3]  £. Stettner
On the Existence and Uniqueness of Invariant Measure for Continuous Time Markov Processes
LCDS Report No. 86-16, April 1986, Brown University, Providence
[4]  W. Runggaldier, £. Stettner
Partially Observable Control Problems with Compulsory Shifts of the State
IIASA Working paper WP-92-34, May 1992
[5]  M. Rasonyi, £. Stettner
Utility maximization under portfolio constraints
Proc. CDC 2004

CONFERENCE REPORTS:

[1]  £. Stettner and J. Zabczyk
Stochastic version of a penalty method
Optimization Techniques, Proc. 9th IFIP Conference Warsaw 1979, Ed. K. Iracki, K. Malanowski, S. Walukiewicz, Lecture Notes in Control Inf. Sci. 22, Springer 1980, 179 - 183
[2]  £. Stettner
On impulsive control with long run average cost criterion
Stochastic Differential Systems, Proc. 2nd Bad Honnef Conference, Ed. M. Kohlman and N. Christopeit, Lect. Notes in Control Inf. Sci. 43, Springer 1982, 354 - 360
[3]  G. Mazziotto, £. Stettner, J. Szpirglas, J. Zabczyk
On Impulsive Control with Partial Observation
Stochastic Differential Systems, Marseille - Luminy 1984, Lecture Notes in Control Inf. Sci. 69, Springer 1985, 296 - 308
[4]  T. Bielecki, £. Stettner
On Limit Control Principle for Singularly Perturbed Markov Processes
Stochastic Systems and Optimization, Proc. 6th IFIP WG 7.1 Working Conference, Warsaw, Poland, September 12-16, 1988, Ed. J. Zabczyk, Lect. Notes in Control Inf. Sci. 136, Springer 1989, 274 - 283
[5]  G. Di Masi and £. Stettner
Adaptive control of a partially observable stochastic system
Modelling, Estimation and Control of Systems with Uncertainty, Proc. Conf. in Sopron 1990, Ed. G. Di Masi, A. Gombani, A. Kurzhansky, Birkhäuser 1991, 113 - 125
[6]  W. J. Runggaldier and £. Stettner
Nearly Optimal Controls for Partially Observable Problems with the Average Cost Criterion
Modelling, Estimation and Control of Systems with Uncertainty, Proc. Conf. in Sopron 1990, ed. G. Di Masi, A. Gombani, A. Kurzanski, Birkhäuser 1991, 374 - 390
[7]  T. Duncan, B. Pasik-Duncan, £. Stettner
Some Aspects of the Adaptive Control of a Partially Observed Discrete Time Markov Process
Proc. 32nd IEEE CDC, San Antonio 1993
[8]  T. Duncan, B. Pasik-Duncan, £. Stettner
Discretized maximum likelihood and almost self-optimizing controls for ergodic Markov models
Proc. 34th IEEE CDC, New Orleans 1995, 1630 - 1635
[9]  T. Duncan, B. Pasik-Duncan, £. Stettner
Adaptive control of discrete time Markov processes by the method of large deviations
Proc. 35th IEEE CDC, Kobe 1996, 360 - 365
[10]  G. Di Masi, £. Stettner
Risk sensitive control of discrete time partially observed Markov processes with infinite horizon
Proc. 37th IEEE CDC, Tampa 1998, 3467 - 3472
[11]  T. Duncan, B. Pasik-Duncan, £. Stettner
Some results on risk sensitive adaptive control of discrete time Markov processes
Proc. 37th IEEE CDC, Tampa 1998, 3462 - 3466

 

 

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