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Author ID: pliska.stanley-r Recent zbMATH articles by "Pliska, Stanley R."
Published as: Pliska, Stanley R.; Pliska, S. R.; Pliska, Stanley; Pliska, S.
External Links: MGP

Publications by Year

Citations contained in zbMATH Open

46 Publications have been cited 1,462 times in 1,185 Documents Cited by Year
Martingales and stochastic integrals in the theory of continuous trading. Zbl 0482.60097
Harrison, J. Michael; Pliska, Stanley R.
564
1981
A stochastic calculus model of continuous trading: optimal portfolios. Zbl 1011.91503
Pliska, Stanley R.
135
1986
Continuous-time mean-variance portfolio selection with bankruptcy prohibition. Zbl 1153.91466
Bielecki, Tomasz; Jin, Hanqing; Pliska, Stanley R.; Zhou, Xun Yu
132
2005
A stochastic calculus model of continuous trading: Complete markets. Zbl 0511.60094
Harrison, J. Michael; Pliska, Stanley R.
118
1983
Risk-sensitive dynamic asset management. Zbl 0984.91047
Bielecki, T. R.; Pliska, S. R.
89
1999
Optimal portfolio management with fixed transaction costs. Zbl 0866.90020
Morton, Andrew J.; Pliska, Stanley R.
61
1995
On the fundamental theorem of asset pricing with an infinite state space. Zbl 0721.90016
Back, Kerry; Pliska, Stanley R.
43
1991
Controlled jump processes. Zbl 0313.60055
Pliska, Stanley R.
34
1975
Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management. Zbl 0959.91029
Bielecki, Tomasz; Hernández-Hernández, Daniel; Pliska, Stanley R.
26
1999
Risk sensitive asset management with transaction costs. Zbl 0982.91024
Bielecki, Tomasz R.; Pliska, Stanley R.
26
2000
Risk-sensitive ICAPM with application to fixed-income management. Zbl 1366.91164
Bielecki, Tomasz R.; Pliska, Stanley R.
19
2004
Option valuation with co-integrated asset prices. Zbl 1179.91261
Duan, Jin-Chuan; Pliska, Stanley R.
18
2004
Risk sensitive asset allocation. Zbl 0951.90051
Bielecki, T. R.; Pliska, S. R.; Sherris, M.
16
2000
Risk sensitive portfolio management with Cox-Ingersoll-Ross interest rates: the HJB equation. Zbl 1158.91370
Bielecki, Tomasz R.; Pliska, Stanley R.; Sheu, Shuenn-Jyi
15
2006
Optimal control of single-server queueing networks and multi-class M/G/1 queues with feedback. Zbl 0372.60137
Tcha, Dong-Wan; Pliska, Stanley R.
14
1977
Portfolio management with transaction costs. Zbl 0873.90007
Atkinson, Colin; Pliska, Stanley R.; Wilmott, Paul
13
1997
Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms. Zbl 1297.93184
Duarte, I.; Pinheiro, D.; Pinto, A. A.; Pliska, S. R.
12
2014
Optimal trading of a security when there are taxes and transaction costs. Zbl 0924.90008
Cadenillas, Abel; Pliska, Stanley R.
11
1999
Optimal consumption and exploration of nonrenewable resources under uncertainty. Zbl 0427.90031
Deshmukh, Sudhakar D.; Pliska, Stanley R.
10
1980
Optimization of multitype branching processes. Zbl 0345.90043
Pliska, Stanley R.
9
1976
Optimal portfolios with asymptotic criteria. Zbl 0785.90015
Konno, Hiroshi; Pliska, Stanley R.; Suzuki, Ken-Ichi
8
1993
The shadow price of information in continuous time decision problems. Zbl 0628.93076
Back, Kerry; Pliska, Stanley R.
8
1987
On a free boundary problem that arises in portfolio management. Zbl 0822.90011
Pliska, Stanley R.; Selby, Michael J. P.
7
1994
Optimal scheduling of inspections: A delayed Markov model with false positives and negatives. Zbl 0729.90046
Özekici, Suleyman; Pliska, Stanley R.
6
1991
Mortgage valuation and optimal refinancing. Zbl 1143.91351
Pliska, Stanley R.
6
2006
A semigroup representation of the maximum expected reward vector in continuous parameter Markov decision theory. Zbl 0313.60050
Pliska, Stanley R.
5
1975
A diffusion process model for the optimal operation of a reservoir system. Zbl 0329.60048
Pliska, Stanley R.
5
1975
An overview of optimal life insurance purchase, consumption and investment problems. Zbl 1246.91059
Duarte, Isabel; Pinheiro, Diogo; Pinto, Alberto A.; Pliska, Stanley R.
5
2011
Single person controlled diffusions with discounted costs. Zbl 0248.49015
Pliska, S. R.
5
1973
Optimal tracking for asset allocation with fixed and proportional transaction costs. Zbl 1405.91568
Pliska, Stanley R.; Suzuki, Kiyoshi
5
2004
Mathematics of derivative securities. Forewords are given by R. C. Merton and M. F. Atiyah. Zbl 0874.00033
4
1997
Optimal investment decisions for a portfolio with a rolling horizon bond and a discount bond. Zbl 1137.91430
Bielecki, Tomasz R.; Pliska, Stanley; Yong, Jiongmin
3
2005
Optimal inspection under semi-Markovian deterioration: Basic results. Zbl 0654.90028
Milioni, Armando Z.; Pliska, Stanley R.
3
1988
On the transient case for Markov decision chains with general state spaces. Zbl 0458.90082
Pliska, Stanley R.
3
1978
Optimal consumption of a nonrenewable resource with stochastic discoveries and a random environment. Zbl 0511.90051
Deshmukh, Sudhakar D.; Pliska, Stanley R.
3
1983
On a functional differential equation that arises in a Markov control problem. Zbl 0369.34030
Pliska, Stanley R.
3
1978
Multi-person controlled diffusions. Zbl 0239.90058
Pliska, Stanley R.
3
1973
Risk sensitive asset management with constrained trading strategies. Zbl 1037.91046
Bielecki, Tomasz R.; Hernandez-Hernandez, Daniel; Pliska, Stanley R.
2
2002
Optimal inspection under semi-Markovian deterioration: The catastrophic case. Zbl 0654.90031
Milioni, Armando Z.; Pliska, Stanley R.
2
1988
On a free boundary problem that arises in portfolio management. Zbl 0854.90015
Pliska, Stanley R.; Selby, Michael J. P.
2
1995
Accretive operators and Markov decision processes. Zbl 0442.90103
Pliska, Stanley R.
2
1980
A discrete time stochastic decision model. Zbl 0501.90088
Pliska, Stanley R.
2
1982
A note on the effects of taxes on optimal investment. Zbl 1147.91025
Buescu, Cristin; Cadenillas, Abel; Pliska, Stanley R.
2
2007
A martingale characterization of the price of a nonrenewable resource with decisions involving uncertainty. Zbl 0576.90020
Deshmukh, Sudhakar D.; Pliska, Stanley R.
1
1985
Optimal policies for batch service queueing systems. Zbl 0483.90047
Weiss, Howard J.; Pliska, Stanley R.
1
1982
Duality theory for some stochastic control models. Zbl 0506.93076
Pliska, Stanley R.
1
1982
Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms. Zbl 1297.93184
Duarte, I.; Pinheiro, D.; Pinto, A. A.; Pliska, S. R.
12
2014
An overview of optimal life insurance purchase, consumption and investment problems. Zbl 1246.91059
Duarte, Isabel; Pinheiro, Diogo; Pinto, Alberto A.; Pliska, Stanley R.
5
2011
A note on the effects of taxes on optimal investment. Zbl 1147.91025
Buescu, Cristin; Cadenillas, Abel; Pliska, Stanley R.
2
2007
Risk sensitive portfolio management with Cox-Ingersoll-Ross interest rates: the HJB equation. Zbl 1158.91370
Bielecki, Tomasz R.; Pliska, Stanley R.; Sheu, Shuenn-Jyi
15
2006
Mortgage valuation and optimal refinancing. Zbl 1143.91351
Pliska, Stanley R.
6
2006
Continuous-time mean-variance portfolio selection with bankruptcy prohibition. Zbl 1153.91466
Bielecki, Tomasz; Jin, Hanqing; Pliska, Stanley R.; Zhou, Xun Yu
132
2005
Optimal investment decisions for a portfolio with a rolling horizon bond and a discount bond. Zbl 1137.91430
Bielecki, Tomasz R.; Pliska, Stanley; Yong, Jiongmin
3
2005
Risk-sensitive ICAPM with application to fixed-income management. Zbl 1366.91164
Bielecki, Tomasz R.; Pliska, Stanley R.
19
2004
Option valuation with co-integrated asset prices. Zbl 1179.91261
Duan, Jin-Chuan; Pliska, Stanley R.
18
2004
Optimal tracking for asset allocation with fixed and proportional transaction costs. Zbl 1405.91568
Pliska, Stanley R.; Suzuki, Kiyoshi
5
2004
Risk sensitive asset management with constrained trading strategies. Zbl 1037.91046
Bielecki, Tomasz R.; Hernandez-Hernandez, Daniel; Pliska, Stanley R.
2
2002
Risk sensitive asset management with transaction costs. Zbl 0982.91024
Bielecki, Tomasz R.; Pliska, Stanley R.
26
2000
Risk sensitive asset allocation. Zbl 0951.90051
Bielecki, T. R.; Pliska, S. R.; Sherris, M.
16
2000
Risk-sensitive dynamic asset management. Zbl 0984.91047
Bielecki, T. R.; Pliska, S. R.
89
1999
Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management. Zbl 0959.91029
Bielecki, Tomasz; Hernández-Hernández, Daniel; Pliska, Stanley R.
26
1999
Optimal trading of a security when there are taxes and transaction costs. Zbl 0924.90008
Cadenillas, Abel; Pliska, Stanley R.
11
1999
Portfolio management with transaction costs. Zbl 0873.90007
Atkinson, Colin; Pliska, Stanley R.; Wilmott, Paul
13
1997
Mathematics of derivative securities. Forewords are given by R. C. Merton and M. F. Atiyah. Zbl 0874.00033
4
1997
Optimal portfolio management with fixed transaction costs. Zbl 0866.90020
Morton, Andrew J.; Pliska, Stanley R.
61
1995
On a free boundary problem that arises in portfolio management. Zbl 0854.90015
Pliska, Stanley R.; Selby, Michael J. P.
2
1995
On a free boundary problem that arises in portfolio management. Zbl 0822.90011
Pliska, Stanley R.; Selby, Michael J. P.
7
1994
Optimal portfolios with asymptotic criteria. Zbl 0785.90015
Konno, Hiroshi; Pliska, Stanley R.; Suzuki, Ken-Ichi
8
1993
On the fundamental theorem of asset pricing with an infinite state space. Zbl 0721.90016
Back, Kerry; Pliska, Stanley R.
43
1991
Optimal scheduling of inspections: A delayed Markov model with false positives and negatives. Zbl 0729.90046
Özekici, Suleyman; Pliska, Stanley R.
6
1991
Optimal inspection under semi-Markovian deterioration: Basic results. Zbl 0654.90028
Milioni, Armando Z.; Pliska, Stanley R.
3
1988
Optimal inspection under semi-Markovian deterioration: The catastrophic case. Zbl 0654.90031
Milioni, Armando Z.; Pliska, Stanley R.
2
1988
The shadow price of information in continuous time decision problems. Zbl 0628.93076
Back, Kerry; Pliska, Stanley R.
8
1987
A stochastic calculus model of continuous trading: optimal portfolios. Zbl 1011.91503
Pliska, Stanley R.
135
1986
A martingale characterization of the price of a nonrenewable resource with decisions involving uncertainty. Zbl 0576.90020
Deshmukh, Sudhakar D.; Pliska, Stanley R.
1
1985
A stochastic calculus model of continuous trading: Complete markets. Zbl 0511.60094
Harrison, J. Michael; Pliska, Stanley R.
118
1983
Optimal consumption of a nonrenewable resource with stochastic discoveries and a random environment. Zbl 0511.90051
Deshmukh, Sudhakar D.; Pliska, Stanley R.
3
1983
A discrete time stochastic decision model. Zbl 0501.90088
Pliska, Stanley R.
2
1982
Optimal policies for batch service queueing systems. Zbl 0483.90047
Weiss, Howard J.; Pliska, Stanley R.
1
1982
Duality theory for some stochastic control models. Zbl 0506.93076
Pliska, Stanley R.
1
1982
Martingales and stochastic integrals in the theory of continuous trading. Zbl 0482.60097
Harrison, J. Michael; Pliska, Stanley R.
564
1981
Optimal consumption and exploration of nonrenewable resources under uncertainty. Zbl 0427.90031
Deshmukh, Sudhakar D.; Pliska, Stanley R.
10
1980
Accretive operators and Markov decision processes. Zbl 0442.90103
Pliska, Stanley R.
2
1980
On the transient case for Markov decision chains with general state spaces. Zbl 0458.90082
Pliska, Stanley R.
3
1978
On a functional differential equation that arises in a Markov control problem. Zbl 0369.34030
Pliska, Stanley R.
3
1978
Optimal control of single-server queueing networks and multi-class M/G/1 queues with feedback. Zbl 0372.60137
Tcha, Dong-Wan; Pliska, Stanley R.
14
1977
Optimization of multitype branching processes. Zbl 0345.90043
Pliska, Stanley R.
9
1976
Controlled jump processes. Zbl 0313.60055
Pliska, Stanley R.
34
1975
A semigroup representation of the maximum expected reward vector in continuous parameter Markov decision theory. Zbl 0313.60050
Pliska, Stanley R.
5
1975
A diffusion process model for the optimal operation of a reservoir system. Zbl 0329.60048
Pliska, Stanley R.
5
1975
Single person controlled diffusions with discounted costs. Zbl 0248.49015
Pliska, S. R.
5
1973
Multi-person controlled diffusions. Zbl 0239.90058
Pliska, Stanley R.
3
1973
all top 5

Cited by 1,452 Authors

32 Siu, Tak Kuen
21 Elliott, Robert James
16 Schachermayer, Walter
15 Madan, Dilip B.
13 Pliska, Stanley R.
11 Li, Zhongfei
10 Chiu, Mei Choi
10 Jarrow, Robert Alan
10 Korn, Ralf
10 Li, Duan
9 Aase, Knut Kristian
9 Forsyth, Peter A.
9 Hata, Hiroaki
8 Li, Xun
8 Schweizer, Martin
8 Wang, Shouyang
8 Zheng, Harry H.
7 Delbaen, Freddy
7 Frittelli, Marco
7 Wong, Hoi Ying
7 Yang, Hailiang
6 Bielecki, Tomasz R.
6 Cavazos-Cadena, Rolando
6 Guo, Xianping
6 Ji, Shaolin
6 Jin, Hanqing
6 Lau, John Wei
6 Nagai, Hideo
6 Pennanen, Teemu
6 Pham, Huyên
6 Stettner, Łukasz
6 Zhou, Xunyu
6 Žitković, Gordan
5 Atkinson, Colin
5 Bi, Junna
5 Borkar, Vivek Shripad
5 Boyle, Phelim P.
5 Chang, Mouhsiung
5 Cui, Xiangyu
5 Cvitanić, Jakša
5 Duffie, James Darrell
5 Etessami, Kousha
5 Gao, Jianjun
5 Geman, Hélyette
5 Guasoni, Paolo
5 Hernández-Hernández, Daniel
5 Jouini, Elyès
5 Karatzas, Ioannis
5 Klein, Irene
5 Kopp, Peter Ekkehard
5 Kramkov, Dmitriĭ Olegovich
5 Lépinette, Emmanuel
5 Özekici, Süleyman
5 Protter, Philip Elliott
5 Sekine, Jun
5 Stricker, Christophe
5 Willinger, Walter
5 Yannakakis, Mihalis
5 Ye, Zhongxing
5 Yor, Marc
5 Zeng, Yan
4 Belak, Christoph
4 Biagini, Sara
4 Biswas, Anup
4 Bo, Lijun
4 Cadenillas, Abel
4 Chan, Leunglung
4 Cheang, Gerald H. L.
4 Chen, An
4 Choulli, Tahir
4 Christensen, Soren
4 Dai, Tian-Shyr
4 Dempster, Michael A. H.
4 Dohi, Tadashi
4 Dong, Yinghui
4 Goovaerts, Marc J.
4 Guillaume, Tristan
4 Huang, Yonghui
4 Imkeller, Peter
4 Jaimungal, Sebastian
4 Lioui, Abraham
4 Lyuu, Yuh-Dauh
4 Mariani, Maria Cristina
4 Menoukeu Pamen, Olivier
4 Mykland, Per Aslak
4 Oosterlee, Cornelis Willebrordus
4 Osaki, Shunji
4 Pang, Tao
4 Pelsser, Antoon A. J.
4 Perkkiö, Ari-Pekka
4 Platen, Eckhard
4 Robertson, Scott
4 Shirakawa, Hiroshi
4 Soner, Halil Mete
4 Suzuki, Kiyoshi
4 Tchuindjo, Leonard
4 Touzi, Nizar
4 Vanduffel, Steven
4 Vellekoop, Michel H.
4 Wang, Anjiao
...and 1,352 more Authors
all top 5

Cited in 205 Serials

86 Mathematical Finance
81 Insurance Mathematics & Economics
57 International Journal of Theoretical and Applied Finance
49 Quantitative Finance
43 European Journal of Operational Research
40 Stochastic Processes and their Applications
39 Journal of Economic Dynamics & Control
38 The Annals of Applied Probability
38 Applied Mathematical Finance
25 Journal of Mathematical Economics
24 Finance and Stochastics
21 Applied Mathematics and Optimization
20 Annals of Operations Research
18 Stochastic Analysis and Applications
18 Asia-Pacific Financial Markets
17 Journal of Economic Theory
16 SIAM Journal on Control and Optimization
16 North American Actuarial Journal
16 Annals of Finance
14 Mathematical Methods of Operations Research
14 Mathematics and Financial Economics
13 Stochastics
11 Applied Mathematics and Computation
11 SIAM Journal on Financial Mathematics
10 Advances in Applied Probability
10 Journal of Applied Probability
10 Journal of Econometrics
10 Journal of Optimization Theory and Applications
9 Scandinavian Actuarial Journal
9 Review of Derivatives Research
9 Journal of Industrial and Management Optimization
8 Mathematical and Computer Modelling
8 Communications in Statistics. Theory and Methods
8 Journal of Systems Science and Complexity
7 Journal of Mathematical Analysis and Applications
7 Journal of Computational and Applied Mathematics
7 Mathematics of Operations Research
7 Operations Research Letters
7 Mathematical Programming. Series A. Series B
7 Decisions in Economics and Finance
7 ASTIN Bulletin
6 Automatica
6 Systems & Control Letters
6 Queueing Systems
6 Economics Letters
5 Physica A
5 Stochastics
5 The Annals of Probability
5 Statistics & Probability Letters
5 Journal of Applied Mathematics and Stochastic Analysis
5 The ANZIAM Journal
4 International Journal of Systems Science
4 Moscow University Mathematics Bulletin
4 Kybernetika
4 Optimization
4 Automation and Remote Control
4 Stochastics and Stochastics Reports
4 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
4 Abstract and Applied Analysis
4 Methodology and Computing in Applied Probability
4 Applied Stochastic Models in Business and Industry
4 Journal of Applied Mathematics
3 Computers & Mathematics with Applications
3 International Journal of Control
3 Acta Mathematicae Applicatae Sinica. English Series
3 Sequential Analysis
3 Computers & Operations Research
3 International Journal of Computer Mathematics
3 Journal of Mathematical Sciences (New York)
3 Economic Theory
3 International Game Theory Review
3 Stochastic Models
3 Computational Management Science
3 Mathematical Control and Related Fields
2 Mathematical Biosciences
2 The Annals of Statistics
2 Blätter (Deutsche Gesellschaft für Versicherungsmathematik)
2 Journal of Statistical Planning and Inference
2 Mathematische Annalen
2 Mathematics and Computers in Simulation
2 Naval Research Logistics
2 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
2 Operations Research
2 Scandinavian Actuarial Journal
2 Theoretical Computer Science
2 Transactions of the American Mathematical Society
2 Optimal Control Applications & Methods
2 Acta Applicandae Mathematicae
2 Applied Numerical Mathematics
2 Journal of Theoretical Probability
2 Applied Mathematics Letters
2 MCSS. Mathematics of Control, Signals, and Systems
2 Stochastic Hydrology and Hydraulics
2 Japan Journal of Industrial and Applied Mathematics
2 M\(^3\)AS. Mathematical Models & Methods in Applied Sciences
2 Computational Statistics
2 SIAM Review
2 ZOR. Zeitschrift für Operations Research
2 Computational Economics
2 Journal of Computer and Systems Sciences International
...and 105 more Serials
all top 5

Cited in 35 Fields

992 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
485 Probability theory and stochastic processes (60-XX)
252 Systems theory; control (93-XX)
159 Operations research, mathematical programming (90-XX)
113 Calculus of variations and optimal control; optimization (49-XX)
110 Statistics (62-XX)
47 Numerical analysis (65-XX)
43 Partial differential equations (35-XX)
10 Functional analysis (46-XX)
10 Computer science (68-XX)
8 Operator theory (47-XX)
7 Measure and integration (28-XX)
6 Biology and other natural sciences (92-XX)
5 Ordinary differential equations (34-XX)
5 Integral equations (45-XX)
3 Convex and discrete geometry (52-XX)
3 Fluid mechanics (76-XX)
3 Geophysics (86-XX)
2 General and overarching topics; collections (00-XX)
2 Linear and multilinear algebra; matrix theory (15-XX)
2 Mechanics of particles and systems (70-XX)
2 Statistical mechanics, structure of matter (82-XX)
2 Information and communication theory, circuits (94-XX)
1 History and biography (01-XX)
1 Combinatorics (05-XX)
1 Nonassociative rings and algebras (17-XX)
1 Group theory and generalizations (20-XX)
1 Real functions (26-XX)
1 Functions of a complex variable (30-XX)
1 Dynamical systems and ergodic theory (37-XX)
1 Difference and functional equations (39-XX)
1 Approximations and expansions (41-XX)
1 Harmonic analysis on Euclidean spaces (42-XX)
1 Integral transforms, operational calculus (44-XX)
1 Global analysis, analysis on manifolds (58-XX)

Citations by Year