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ORCIDMichael I. Taksar
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2010 – 2019
- 2010
[j29]Tahir Choulli, Michael Taksar:
Excess-of-loss reinsurance under taxes and fixed costs. Risk Decis. Anal. 2(2): 85-101 (2010)- [j28]Shangzhen Luo, Michael Taksar:
Optimal excess-of-loss reinsurance under borrowing constraints. Risk Decis. Anal. 2(2): 103-123 (2010)
2000 – 2009
- 2009
- [j27]Michael Taksar, Xudong Zeng:
On Maximizing CRRA Utility in Regime Switching Markets with Random Endowment. SIAM J. Control. Optim. 48(5): 2984-3002 (2009) - 2008
- [c5]Michael Taksar, Xudong Zeng:
Optimal terminal wealth under partial information: Both the drift and the volatility driven by a discrete time Markov chain. CDC 2008: 257-262 - 2007
- [j26]Michael Taksar, Xudong Zeng:
Optimal Terminal Wealth Under Partial Information: Both the Drift and the Volatility Driven by a Discrete-Time Markov Chain. SIAM J. Control. Optim. 46(4): 1461-1482 (2007) - 2006
- [c4]Michael Taksar:
Ruin Probability Minimization and Dividend Distribution Optimization in Diffusion Models. CDC 2006: 2878-2882 - 2003
- [j25]Michael I. Taksar, Charlotte Markussen:
Optimal dynamic reinsurance policies for large insurance portfolios. Finance Stochastics 7(1): 97-121 (2003) - [j24]Tahir Choulli, Michael Taksar, Xun Yu Zhou:
A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control. SIAM J. Control. Optim. 41(6): 1946-1979 (2003) - 2002
- [j23]Igor V. Evstigneev, Michael I. Taksar:
Equilibrium States of Random Economies with Locally Interacting Agents and Solutions to Stochastic Variational Inequalities in (L1, L∞). Ann. Oper. Res. 114(1-4): 145-165 (2002) - [j22]Masatoshi Fukushima, Michael Taksar:
Dynkin Games via Dirichlet Forms and Singular Control of One-Dimensional Diffusions. SIAM J. Control. Optim. 41(3): 682-699 (2002) - [c3]Suresh P. Sethi, Michael I. Taksar:
Optimal financing of a corporation subject to random returns: a summary. CDC 2002: 395-397 - 2001
- [j21]Bjarne Højgaard, Michael Taksar:
Optimal risk control for a large corporation in the presence of returns on investments. Finance Stochastics 5(4): 527-547 (2001) - [j20]Igor V. Evstigneev, Michael I. Taksar:
Convex stochastic optimization for random fields on graphs: A method of constructing Lagrange multipliers. Math. Methods Oper. Res. 54(2): 217-237 (2001) - [c2]Tahir Choulli, Michael Taksar, Xun Yu Zhou:
Optimal risk control and dividend distribution for a financial corporation with policy constraints. CDC 2001: 4559-4564 - [c1]Tahir Choulli, Michael Taksar, Xun Yu Zhou:
An optimization model for a company with constraints on risk control. CDC 2001: 4571-4576 - 2000
- [j19]Michael I. Taksar:
Dependence of the Optimal Risk Control Decisions on the Terminal Value for a Financial Corporation. Ann. Oper. Res. 98(1-4): 89-99 (2000) - [j18]Jun Yang, Houmin Yan, Michael I. Taksar:
Optimal Production and Setup Scheduling: A One-Machine, Two-Product System. Ann. Oper. Res. 98(1-4): 291-311 (2000) - [j17]Søren Asmussen, Bjarne Højgaard, Michael Taksar:
Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. Finance Stochastics 4(3): 299-324 (2000) - [j16]Michael I. Taksar:
Optimal risk and dividend distribution control models for an insurance company. Math. Methods Oper. Res. 51(1): 1-42 (2000)
1990 – 1999
- 1998
- [j15]Suresh P. Sethi, W. Suo, Michael I. Taksar, H. Yan:
Optimal Production Planning in a Multi-Product Stochastic Manufacturing System with Long-Run Average Cost. Discret. Event Dyn. Syst. 8(1): 37-54 (1998) - [j14]Elena V. Krichagina, Rodrigo Rubio, Michael I. Taksar, Lawrence M. Wein:
A Dynamic Stochastic Stock-Cutting Problem. Oper. Res. 46(5): 690-701 (1998) - [j13]Michael Taksar, Alexander S. Poznyak, A. Iparraguirre:
Robust output feedback control for linear stochastic systems in continuous time with time-varying parameters. IEEE Trans. Autom. Control. 43(8): 1133-1136 (1998) - 1996
- [j12]Michael Taksar:
Book review. Discret. Event Dyn. Syst. 6(3): 307-309 (1996) - 1995
- [j11]Elena V. Krichagina, Sheldon X. C. Lou, Suresh P. Sethi, Michael I. Taksar:
Diffusion Approximation for a Controlled Stochastic Manufacturing System with Average Cost Minimization. Math. Oper. Res. 20(4): 895-922 (1995) - 1994
- [j10]Offer Kella, Michael I. Taksar:
A Heavy-Traffic Limit for the Cycle Counting Process in G/G/1, Optional Interruptions and Elastic Screen Brownian Motion. Math. Oper. Res. 19(1): 132-151 (1994) - [j9]Elena V. Krichagina, Sheldon X. C. Lou, Michael I. Taksar:
Double Band Policy for Stochastic Manufacturing Systems in Heavy Traffic. Math. Oper. Res. 19(3): 560-596 (1994) - 1992
- [j8]José-Luis Menaldi, Maurice Robin, Michael I. Taksar:
Singular ergodic control for multidimensional Gaussian processes. Math. Control. Signals Syst. 5(1): 93-114 (1992) - [j7]Elena V. Krichagina, Michael I. Taksar:
Diffusion approximation forGI/G/1 controlled queues. Queueing Syst. Theory Appl. 12(3-4): 333-367 (1992) - 1991
- [j6]John P. Lehoczky, Suresh P. Sethi, H. Mete Soner
, Michael I. Taksar:
An Asymptotic Analysis of Hierarchical Control of Manufacturing Systems Under Uncertainty. Math. Oper. Res. 16(3): 596-608 (1991)
1980 – 1989
- 1989
- [j5]José-Luis Menaldi, Michael I. Taksar:
Optimal correction problem of a multidimensional stochastic system. Autom. 25(2): 223-232 (1989) - 1988
- [j4]Michael Taksar, Michael J. Klass, David Assaf:
A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees. Math. Oper. Res. 13(2): 277-294 (1988) - 1985
- [j3]Winfried K. Grassmann, Michael I. Taksar, Daniel P. Heyman:
Regenerative Analysis and Steady State Distributions for Markov Chains. Oper. Res. 33(5): 1107-1116 (1985) - [j2]Michael I. Taksar:
Average Optimal Singular Control and a Related Stopping Problem. Math. Oper. Res. 10(1): 63-81 (1985) - 1983
- [j1]J. Michael Harrison, Michael I. Taksar:
Instantaneous Control of Brownian Motion. Math. Oper. Res. 8(3): 439-453 (1983)
Coauthor Index
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