Biswas, Subhojit; Ghosh, Mrinal K.; Mukherjee, Diganta Portfolio optimization managing value at risk under heavy tail return, using stochastic maximum principle. (English) Zbl 1482.90234 Stochastic Anal. Appl. 39, No. 6, 1025-1049 (2021). MSC: 90C39 91G10 91G80 PDFBibTeX XMLCite \textit{S. Biswas} et al., Stochastic Anal. Appl. 39, No. 6, 1025--1049 (2021; Zbl 1482.90234) Full Text: DOI arXiv
Ghosh, Mrinal K.; Pradhan, Somnath Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain. (English) Zbl 1475.91022 Stochastic Anal. Appl. 39, No. 5, 819-841 (2021). MSC: 91A15 PDFBibTeX XMLCite \textit{M. K. Ghosh} and \textit{S. Pradhan}, Stochastic Anal. Appl. 39, No. 5, 819--841 (2021; Zbl 1475.91022) Full Text: DOI
Ghosh, Mrinal K.; Suresh Kumar, K.; Pal, Chandan; Pradhan, Somnath Nonzero-sum risk-sensitive stochastic differential games with discounted costs. (English) Zbl 1461.91030 Stochastic Anal. Appl. 39, No. 2, 306-326 (2020). Reviewer: George Stoica (Saint John) MSC: 91A15 35Q91 PDFBibTeX XMLCite \textit{M. K. Ghosh} et al., Stochastic Anal. Appl. 39, No. 2, 306--326 (2020; Zbl 1461.91030) Full Text: DOI
Ghosh, Mrinal K.; Pradhan, Somnath Risk-sensitive stochastic differential games with reflecting diffusions. (English) Zbl 1407.91037 Stochastic Anal. Appl. 36, No. 1, 1-27 (2018). MSC: 91A15 91A23 35Q91 PDFBibTeX XMLCite \textit{M. K. Ghosh} and \textit{S. Pradhan}, Stochastic Anal. Appl. 36, No. 1, 1--27 (2018; Zbl 1407.91037) Full Text: DOI
Ghosh, Mrinal K.; Kumar, K. Suresh; Pal, Chandan Zero-sum risk-sensitive stochastic games for continuous time Markov chains. (English) Zbl 1346.93397 Stochastic Anal. Appl. 34, No. 5, 835-851 (2016). MSC: 93E20 60J75 PDFBibTeX XMLCite \textit{M. K. Ghosh} et al., Stochastic Anal. Appl. 34, No. 5, 835--851 (2016; Zbl 1346.93397) Full Text: DOI arXiv
Basak, Gopal K.; Ghosh, Mrinal K.; Mukherjee, Diganta A mean-reverting stochastic model for the political business cycle. (English) Zbl 1336.93170 Stochastic Anal. Appl. 34, No. 1, 96-116 (2016). MSC: 93E20 93C95 60H30 91B64 PDFBibTeX XMLCite \textit{G. K. Basak} et al., Stochastic Anal. Appl. 34, No. 1, 96--116 (2016; Zbl 1336.93170) Full Text: DOI
Ghosh, Mrinal K.; Saha, Subhamay Non-stationary semi-Markov decision processes on a finite horizon. (English) Zbl 1260.93174 Stochastic Anal. Appl. 31, No. 1, 183-190 (2013). MSC: 93E20 60J75 PDFBibTeX XMLCite \textit{M. K. Ghosh} and \textit{S. Saha}, Stochastic Anal. Appl. 31, No. 1, 183--190 (2013; Zbl 1260.93174) Full Text: DOI
Ghosh, Mrinal K.; Rao, K. S. Mallikarjuna Existence of value in stochastic differential games of mixed type. (English) Zbl 1252.49062 Stochastic Anal. Appl. 30, No. 5, 895-905 (2012). MSC: 49N70 60G40 93E20 49J40 49L25 PDFBibTeX XMLCite \textit{M. K. Ghosh} and \textit{K. S. M. Rao}, Stochastic Anal. Appl. 30, No. 5, 895--905 (2012; Zbl 1252.49062) Full Text: DOI
Banerjee, Tamal; Ghosh, Mrinal K.; Iyer, Srikanth K. Pricing defaultable bonds in a Markov modulated market. (English) Zbl 1248.91039 Stochastic Anal. Appl. 30, No. 3, 448-475 (2012). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91B24 91G20 91B70 PDFBibTeX XMLCite \textit{T. Banerjee} et al., Stochastic Anal. Appl. 30, No. 3, 448--475 (2012; Zbl 1248.91039) Full Text: DOI
Ghosh, Mrinal K.; Saha, Subhamay Stochastic processes with age-dependent transition rates. (English) Zbl 1223.60062 Stochastic Anal. Appl. 29, No. 3, 511-522 (2011). Reviewer: Leonid Petrov (Moskva) MSC: 60J27 60J75 PDFBibTeX XMLCite \textit{M. K. Ghosh} and \textit{S. Saha}, Stochastic Anal. Appl. 29, No. 3, 511--522 (2011; Zbl 1223.60062) Full Text: DOI
Basak, Gopal K.; Ghosh, Mrinal K.; Goswami, Anindya Risk minimizing option pricing for a class of exotic options in a Markov-modulated market. (English) Zbl 1222.91056 Stochastic Anal. Appl. 29, No. 2, 259-281 (2011). Reviewer: Henryk Gzyl (Caracas) MSC: 91G20 91G80 PDFBibTeX XMLCite \textit{G. K. Basak} et al., Stochastic Anal. Appl. 29, No. 2, 259--281 (2011; Zbl 1222.91056) Full Text: DOI
Deshpande, Amogh; Ghosh, Mrinal K. Risk minimizing option pricing in a regime switching market. (English) Zbl 1133.91415 Stochastic Anal. Appl. 26, No. 2, 313-324 (2008). MSC: 91G20 91B70 PDFBibTeX XMLCite \textit{A. Deshpande} and \textit{M. K. Ghosh}, Stochastic Anal. Appl. 26, No. 2, 313--324 (2008; Zbl 1133.91415) Full Text: DOI
Basu, Arnab; Ghosh, Mrinal K. Stochastic differential games with multiple modes and applications to portfolio optimization. (English) Zbl 1119.49030 Stochastic Anal. Appl. 25, No. 4, 845-867 (2007). MSC: 49N70 90C59 49L25 PDFBibTeX XMLCite \textit{A. Basu} and \textit{M. K. Ghosh}, Stochastic Anal. Appl. 25, No. 4, 845--867 (2007; Zbl 1119.49030) Full Text: DOI
Ghosh, Mrinal K.; Goswami, Anindya Partially observable semi-Markov games with discounted payoff. (English) Zbl 1140.91318 Stochastic Anal. Appl. 24, No. 5, 1035-1059 (2006). MSC: 91A15 91A25 PDFBibTeX XMLCite \textit{M. K. Ghosh} and \textit{A. Goswami}, Stochastic Anal. Appl. 24, No. 5, 1035--1059 (2006; Zbl 1140.91318) Full Text: DOI
Ghosh, Mrinal K.; Marcus, Steven I. Stochastic differential games with multiple modes. (English) Zbl 0895.90193 Stochastic Anal. Appl. 16, No. 1, 91-105 (1998). MSC: 91A23 91A15 91A05 PDFBibTeX XMLCite \textit{M. K. Ghosh} and \textit{S. I. Marcus}, Stochastic Anal. Appl. 16, No. 1, 91--105 (1998; Zbl 0895.90193) Full Text: DOI Link
Basak, Gopal K.; Borkar, Vivek S.; Ghosh, Mrinal K. Ergodic control of degenerate diffusions. (English) Zbl 0872.93079 Stochastic Anal. Appl. 15, No. 1, 1-17 (1997). Reviewer: M.Kohlmann (Bonn) MSC: 93E20 PDFBibTeX XMLCite \textit{G. K. Basak} et al., Stochastic Anal. Appl. 15, No. 1, 1--17 (1997; Zbl 0872.93079) Full Text: DOI Link