Edit Profile (opens in new tab) Goswami, Anindya Co-Author Distance Author ID: goswami.anindya Published as: Goswami, Anindya Homepage: http://www.iiserpune.ac.in/~anindya/ External Links: MGP · ORCID · ResearchGate Documents Indexed: 23 Publications since 2006, including 1 Book and 6 Additional arXiv Preprints Co-Authors: 23 Co-Authors with 20 Joint Publications 284 Co-Co-Authors all top 5 Co-Authors 2 single-authored 5 Ghosh, Mrinal Kanti 3 Das, Milan Kumar 2 Atar, Rami 2 Rana, Nimit 2 Shwartz, Adam 2 Yadav, Ravishankar Kapildev 1 Agrawal, Garima 1 Basak, Gopal Krishna 1 Biswas, Arunangshu 1 Kumar, Suresh K. 1 Le Gland, François 1 Manjarekar, Omkar 1 Nandan, Sanket 1 Overbeck, Ludger 1 Patankar, Tanmay S. 1 Patel, Jeeten 1 Patel, Kuldip Singh 1 R, Anjana 1 Rajani, Sharan 1 Saha, Subhamay 1 Sahu, Pradeep Kumar 1 Shevgaonkar, Poorva 1 Siu, Tak Kuen all top 5 Serials 4 Stochastic Analysis and Applications 3 SIAM Journal on Control and Optimization 1 Indian Journal of Pure & Applied Mathematics 1 Journal of Mathematical Analysis and Applications 1 Applied Mathematics and Optimization 1 Journal of Mathematical Economics 1 Rendiconti del Circolo Matemàtico di Palermo. Serie II 1 Statistics & Probability Letters 1 Electronic Communications in Probability 1 Texts and Readings in Mathematics 1 Sankhyā. Series B 1 Bollettino dell’Unione Matematica Italiana all top 5 Fields 14 Probability theory and stochastic processes (60-XX) 13 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 5 Systems theory; control (93-XX) 2 Partial differential equations (35-XX) 2 Integral equations (45-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 1 Associative rings and algebras (16-XX) 1 Group theory and generalizations (20-XX) 1 General topology (54-XX) 1 Statistics (62-XX) 1 Operations research, mathematical programming (90-XX) 1 Biology and other natural sciences (92-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 12 Publications have been cited 71 times in 50 Documents Cited by ▼ Year ▼ Risk minimizing option pricing in a semi-Markov modulated market. Zbl 1193.91155 Ghosh, Mrinal K.; Goswami, Anindya 19 2009 Risk minimizing option pricing for a class of exotic options in a Markov-modulated market. Zbl 1222.91056 Basak, Gopal K.; Ghosh, Mrinal K.; Goswami, Anindya 12 2011 Risk sensitive portfolio optimization in a jump diffusion model with regimes. Zbl 1390.91278 Das, Milan Kumar; Goswami, Anindya; Rana, Nimit 8 2018 A system of non-local parabolic PDE and application to option pricing. Zbl 1347.60084 Goswami, Anindya; Patel, Jeeten; Shevgaonkar, Poorva 6 2016 Option pricing in a regime switching stochastic volatility model. Zbl 1393.91131 Biswas, Arunangshu; Goswami, Anindya; Overbeck, Ludger 6 2018 Risk-sensitive control for the parallel server model. Zbl 1290.60090 Atar, Rami; Goswami, Anindya; Shwartz, Adam 6 2013 Partially observable semi-Markov games with discounted payoff. Zbl 1140.91318 Ghosh, Mrinal K.; Goswami, Anindya 4 2006 Pricing derivatives in a regime switching market with time inhomogenous volatility. Zbl 1401.60164 Das, Milan Kumar; Goswami, Anindya; Patankar, Tanmay S. 2 2018 Convergence of estimated option price in a regime switching market. Zbl 1414.91373 Goswami, Anindya; Nandan, Sanket 2 2016 On the risk-sensitive cost for a Markovian multiclass queue with priority. Zbl 1315.60096 Atar, Rami; Goswami, Anindya; Shwartz, Adam 2 2014 Partially observed semi-Markov zero-sum games with average payoff. Zbl 1151.91023 Ghosh, Mrinal K.; Goswami, Anindya 2 2008 Portfolio optimization in a semi-Markov modulated market. Zbl 1187.91199 Ghosh, Mrinal K.; Goswami, Anindya; Kumar, Suresh K. 2 2009 Risk sensitive portfolio optimization in a jump diffusion model with regimes. Zbl 1390.91278 Das, Milan Kumar; Goswami, Anindya; Rana, Nimit 8 2018 Option pricing in a regime switching stochastic volatility model. Zbl 1393.91131 Biswas, Arunangshu; Goswami, Anindya; Overbeck, Ludger 6 2018 Pricing derivatives in a regime switching market with time inhomogenous volatility. Zbl 1401.60164 Das, Milan Kumar; Goswami, Anindya; Patankar, Tanmay S. 2 2018 A system of non-local parabolic PDE and application to option pricing. Zbl 1347.60084 Goswami, Anindya; Patel, Jeeten; Shevgaonkar, Poorva 6 2016 Convergence of estimated option price in a regime switching market. Zbl 1414.91373 Goswami, Anindya; Nandan, Sanket 2 2016 On the risk-sensitive cost for a Markovian multiclass queue with priority. Zbl 1315.60096 Atar, Rami; Goswami, Anindya; Shwartz, Adam 2 2014 Risk-sensitive control for the parallel server model. Zbl 1290.60090 Atar, Rami; Goswami, Anindya; Shwartz, Adam 6 2013 Risk minimizing option pricing for a class of exotic options in a Markov-modulated market. Zbl 1222.91056 Basak, Gopal K.; Ghosh, Mrinal K.; Goswami, Anindya 12 2011 Risk minimizing option pricing in a semi-Markov modulated market. Zbl 1193.91155 Ghosh, Mrinal K.; Goswami, Anindya 19 2009 Portfolio optimization in a semi-Markov modulated market. Zbl 1187.91199 Ghosh, Mrinal K.; Goswami, Anindya; Kumar, Suresh K. 2 2009 Partially observed semi-Markov zero-sum games with average payoff. Zbl 1151.91023 Ghosh, Mrinal K.; Goswami, Anindya 2 2008 Partially observable semi-Markov games with discounted payoff. Zbl 1140.91318 Ghosh, Mrinal K.; Goswami, Anindya 4 2006 all cited Publications top 5 cited Publications all top 5 Cited by 82 Authors 7 Goswami, Anindya 5 Ghosh, Mrinal Kanti 4 Saha, Subhamay 3 Atar, Rami 3 Biswas, Anup 3 Das, Milan Kumar 2 Deshpande, Amogh 2 Guo, Xianping 2 Hu, Zenghui 2 Huang, Yonghui 2 Iyer, Srikanth K. 2 Mu, Xiaowu 2 Stettner, Łukasz 2 Wang, Bao 2 Zhu, Ailin 2 Zhu, Quanxin 1 Arapostathis, Aristotle 1 Assonken, Patrick 1 Azevedo, N. Monteiro 1 Banerjee, Tamal 1 Basu, Arnab K. 1 Bégin, Jean-François 1 Biswas, Arunangshu 1 Bo, Lijun 1 Budhiraja, Amarjit S. 1 Chen, Shouting 1 Cohen, Asaf 1 Cui, Jingan 1 Deepa, R. Acharya 1 Dharmaraja, Selvamuthu 1 Diao, Xundi 1 Drapeau, Samuel 1 Dupuis, Paul G. 1 Feng, Likang 1 Godin, Frédéric 1 Hassin, Refael 1 Hu, Shaoyong 1 Hwang, Kyo-Shin 1 Jin, Zhuo 1 Kumar, Swapnil 1 Ladde, Gangaram S. 1 Li, Dan 1 Lian, Zhaotong 1 Liao, Huafu 1 Lin, Minglian 1 Liu, Shengqiang 1 Liu, Xingwen 1 Liu, Xinzhi 1 Lyu, Jianping 1 Ma, Jingtang 1 Ma, Yong 1 Mehra, Mani 1 Mendelson, Gal 1 Nanda, Seema 1 Nandan, Sanket 1 Nowak, Andrzej S. 1 Overbeck, Ludger 1 Pasricha, Puneet 1 Patankar, Tanmay S. 1 Patel, Jeeten 1 Patel, Kuldip Singh 1 Pinheiro, Diogo 1 Pitera, Marcin 1 Pradhan, Somnath 1 Qian, Linyi 1 Rajani, Sharan 1 Rana, Nimit 1 Ravner, Liron 1 Shevgaonkar, Poorva 1 Shukla, Ankita 1 Song, Xinyuan 1 Su, Xiaonan 1 Tangman, Désiré Yannick 1 Thakoor, Nawdha 1 Tour, Geraldine 1 Wang, Wensheng 1 Wu, Ruoyu 1 Xin, Zhixian 1 Yang, Jun 1 Zhang, Weihai 1 Zhang, Yunbo 1 Zhong, Shiyu all top 5 Cited in 37 Serials 5 Stochastic Analysis and Applications 3 SIAM Journal on Control and Optimization 3 The Annals of Applied Probability 2 Journal of the Franklin Institute 2 Journal of Mathematical Analysis and Applications 2 Statistics & Probability Letters 2 Communications in Statistics. Theory and Methods 2 Quantitative Finance 1 International Journal of Control 1 Indian Journal of Pure & Applied Mathematics 1 Journal of Statistical Physics 1 Mathematical Methods in the Applied Sciences 1 Applied Mathematics and Optimization 1 Automatica 1 Information Sciences 1 Journal of Differential Equations 1 Journal of Optimization Theory and Applications 1 Mathematics of Operations Research 1 Systems & Control Letters 1 Acta Mathematicae Applicatae Sinica. English Series 1 Optimization 1 Queueing Systems 1 Journal of Scientific Computing 1 Stochastic Processes and their Applications 1 The Journal of Analysis 1 Mathematical Finance 1 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 1 Mathematical Methods of Operations Research 1 International Journal of Theoretical and Applied Finance 1 International Journal of Nonlinear Sciences and Numerical Simulation 1 Asia-Pacific Financial Markets 1 Stochastics 1 SIAM Journal on Financial Mathematics 1 International Journal of Stochastic Analysis 1 Sankhyā. Series B 1 Mathematical Control and Related Fields 1 Stochastic Systems all top 5 Cited in 15 Fields 32 Probability theory and stochastic processes (60-XX) 29 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 20 Systems theory; control (93-XX) 8 Calculus of variations and optimal control; optimization (49-XX) 5 Operations research, mathematical programming (90-XX) 4 Partial differential equations (35-XX) 4 Statistics (62-XX) 3 Integral equations (45-XX) 3 Numerical analysis (65-XX) 2 Computer science (68-XX) 1 Measure and integration (28-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Functional analysis (46-XX) 1 Biology and other natural sciences (92-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year