Publications

Preprints:

  • "Discrete-time hybrid control processes with unbounded costs"; with G.D. Salgado-Suárez. Submitted.
  • "Optimal stopping problems with constraints for continuous-time general Markov processes"; with F. Vásquez-Rojas. Submitted.
  • "Discrete-time hybrid control with risk-sensitive discounted costs"; with R. Blancas-Rivera. Submitted.


Papers (Published/Forthcoming):

  1. "Explicit formulae for the valuation of European options with price impacts impacts" (2024) The Journal of Finance and Data Science; with G. Hernández-del-Valle and J.C. Rodríguez-Burgos. Forthcoming.
  2. "A discrete-time benchmark tracking problem in two markets subject to random environments" (2024) OR Spectrum; with G.D. Salgado-Suárez. Forthcoming.
  3. "Constrained Markov decision processes with non-constant discount factor: the linear programming approach" (2024) J. Optim. Theory Appl.; with T. Prieto-Rumeau. Forthcoming.
  4. "Some advances on constrained Markov decision processes in Borel spaces with random state-dependent discount factor" (2024) Optimization. 73, pp. 925-951; with R. R. López-Martínez and J. A. Minjárez-Sosa.
  5. "Recent results on discrete-time hybrid control models with general state and action spaces" (2023) Pure and Applied Functional Analysis; with J.L. Menaldi and T. Prieto-Rumeau. Forthcoming.
  6. "A discrete-time optimal execution problem with market prices subject to random environments" (2023) TOP. 31, pp. 562-583 ; with C.G. Pacheco and G.D. Salgado-Suárez.
  7. "Discrete-time switching control in random walks" (2023) Internat. J. Control. 96, pp. 1091-1103; with C.G. Pacheco and G.D. Salgado-Suárez.
  8. "On a switching control problem with càdlàg costs" (2022) Stochastics. 94, pp. 51-85; with S. Hamadène and Y. A. Osorio-Agudelo.
  9. "Discrete-time control with non-constant discount factor" (2020). Math. Methods Oper. Res. 92, pp. 377-399; with J.L. Menaldi and T. Prieto-Rumeau.
  10. "Discrete-time hybrid control in Borel spaces" (2020). Appl. Math. Optim. 81, pp. 409-441; with J.L. Menaldi and T. Prieto-Rumeau.
  11. "Relaxation and linear programs in a hybrid control model" (2019). Applicationes Mathematicae (Warsaw). 46, pp. 191-227; with J.L. Menaldi.
  12. "Discrete-time hybrid control in Borel spaces: average cost optimality criterion" (2018). J. Math. Anal. Appl. 462, pp. 1695-1713; with J.L. Menaldi, T. Prieto-Rumeau and M. Robin.
  13. "Infinite horizon nonzero-sum stochastic differential games with additive structure" (2017). IMA J. Math. Control Inform. 34, pp. 283-309; with J. D . López-Barrientos and B. A. Escobedo-Trujillo.
  14. "Control systems of interacting objects modeled as a game against nature under a mean field approach" (2017). J. Dyn. Games. 4, pp. 59-74; with C. G. Higuera-Chan and J. A. Minjárez-Sosa.
  15. "Constrained Markov decision processes in Borel spaces: from discounted to average optimality" (2016). Math. Methods Oper. Res. 84, pp. 489-525; with A. F. Mendóza-Pérez and O. A. de-la-Cruz-Courtois.
  16. "The Lagrange and the vanishing discount techniques to controlled diffusions with cost constraints" (2016). J. Math. Anal. Appl. 437, pp. 999-1035; with B. A. Escobedo-Trujillo and A. F. Mendóza-Pérez.
  17. "Discrete time control for systems of interacting objects with unknown random disturbance distributions: a mean field approach" (2016). Appl. Math. Optim. 74, pp. 197-227; with C. G. Higuera-Chan and J. A. Minjárez-Sosa.
  18. "On the use of stochastic differential games against nature to ergodic control problems with unknown parameters" (2015). Internat. J. Control. 88, pp. 897-909; with J. D . López-Barrientos.
  19. "The Lagrange approach to ergodic control of diffusions with cost constraints" (2015). Optimization. 64, pp. 179-196; with A. F. Mendóza-Pérez and O. Hernández-Lerma.
  20. "Discounted robust control for Markov diffusion processes" (2015). TOP. 23, pp. 53-76; with J. D . López-Barrientos and B. A. Escobedo-Trujillo.
  21. "Approximate solutions of a stochastic variational inequality modeling an elasto-plastic problem with noise" (2014). Appl. Math. Res. Express. 2014, pp. 52-73; with L. Mertz and S.C.P. Yam.
  22. "Optimal ergodic control of Markov diffusion processes with minimum variance" (2013). Stochastics. 85, pp. 929-945; with O. Hernández-Lerma.
  23. "Asymptotic analysis of stochastic variational inequalities modeling an elasto-plastic problem with vanishing Jumps" (2012). Assymptotic Analysis. 80, pp. 171-187; with A. Bensoussan, S. Menozzi and L. Mertz.
  24. "Blackwell optimality for controlled diffusion processes" (2009). J. Appl. Prob. 46, pp. 372-391; with O. Hernández-Lerma.
  25. "Ergodic control, bias, and sensitive discount optimality for Markov diffusion processes" (2009). Stoch. Anal. Appl. 27, pp. 363-385; with O. Hernández-Lerma.
  26. "Characterizations of overtaking optimality for controlled diffusion processes" (2008). Appl. Math. Optim. 57, pp. 349-369; with O. Hernández-Lerma.
  27. "Noncooperative continuous-time Markov games" (2005). Morfismos. 9, pp. 39-54.


Book chapters:

  1. "Optimal stopping problems for a family of continuous-time Markov processes", in Modern Trends in Controlled Stochastic Processes: Theory and Applications III. Edited by A.B. Piunovskiy and Z. Yi, 41. Springer Nature, Cham, Switzerland, 2021, pp. 57-86; with J.L. Menaldi and F. Vásquez-Rojas.
  2. "Correlated equilibria for infinite horizon nonzero-sum stochastic differential games", in: Modeling, Stochastic Control, Optimization, and Applications. Edited by G. Yin, Q. Zhang, 164. The IMA Volumes in Mathematics and its Applications. Springer Nature, Cham, Switzerland, 2019, pp. 181-200; with B. A. Escobedo-Trujillo.
  3. "Blackwell-Nash equilibria in zero-sum stochastic differential games", in: XII Symposium on Probability and Stochastic Processes. Edited by D. Hernández-Hernández, J.C. Pardo, V. Rivero, 73. Progress in Probability. Birkhauser/Springer Nature, Cham, Switzerland, 2018, pp. 169-193; with B. A. Escobedo-Trujillo and J. D . López-Barrientos.
  4. "Ergodic control of pollution with cost constraints", in: Modern Trends in Controlled Stochastic Processes II. Edited by A.B. Piunovskiy. Luniver Press, Frome, U.K., 2015, pp. 213-230; with A. F. Mendóza-Pérez and O. Hernández-Lerma.
  5. "Infinite-horizon optimal control problems for hybrid switching diffusions", in: Stochastics Systems: Optimization, Control, and Applications. Edited by Daniel Hernández-Hernández and J. Adolfo Minjárez-Sosa, 51. Birkhauser/Springer-Verlag, New York, 2012, pp. 203–224; with G. Yin.
  6. "Overtaking optimal strategies and sensitive discount optimality for controlled diffusions", in: Modern Trends in Controlled Stochastic Processes. Edited by A.B. Piunovskiy, Luniver Press, Frome, U.K., 2010, pp. 102-122; with O. Hernández-Lerma.


Monographs:

  1. "Advanced criteria for controlled Markov-modulated diffusions in an infinite horizon: overtaking, bias, and Blackwell optimality". Science Press, Beijing China, 2013. ISBN: 9787030373489; with G. Yin.


Other publications:

  1. "Juegos diferenciales estocásticos en horizonte infinito" (2016) Carta Infomativa de la Sociedad Matemática Mexicana. 76, pp. 5-10; with J. D . López-Barrientos.
  2. "Weakly overtaking optimal strategies for controlled diffusion processes" (2006). Memorias del Congreso Nacional de Control Automático. pp. 73-78, with O. Hernández-Lerma.