Co-author Network
Co-researcher Network
sample of publications
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articles
- Discounted optimal stopping of a brownian bridge, with application to american options under pinning. Mathematics. 8:1159-1-1159-27. 2020
- A class of Itô diffusions with known terminal value and specified optimal barrier. Mathematics. 8:1-14. 2020
- Special volume on `Recent Developments in Queueing Theory' of the third ECQT conference: part 2. QUEUEING SYSTEMS. 94. 2020
- Insider information and its relation with the arbitrage condition and the utility maximization problem. Mathematical Biosciences and Engineering. 17:998-1019. 2019
- Editorial: Special volume on "Recent Developments in Queueing Theory" of the third ECQT conference. QUEUEING SYSTEMS. 93. 2019
- Proportional Switching in First-in, First-out Networks. OPERATIONS RESEARCH. 65:496-513. 2017
- Sojourn time in a single-server queue with threshold service rate control. SIAM Journal on Applied Mathematics. 76:197-216. 2016
- Pure threshold strategies for a two-node tandem network under partial information. OPERATIONS RESEARCH LETTERS. 43:467-470. 2015
- Closed queueing networks under congestion: nonbottleneck independence and bottleneck convergence. MATHEMATICS OF OPERATIONS RESEARCH. 38:469-491. 2013
- A short note on the monotonicity of the Erlang C formula in the Halfin-Whitt regime. QUEUEING SYSTEMS. 71:469-472. 2012
- Two-sided reflection of Markov-modulated Brownian motion. STOCHASTIC MODELS. 28:316-332. 2012
- Markov modulation of a two-sided reflected Brownian motion with application to fluid queues. STOCHASTIC PROCESSES AND THEIR APPLICATIONS. 122:1566-1581. 2012
- First Passage of a Markov Additive Process and Generalized Jordan Chains. JOURNAL OF APPLIED PROBABILITY. 47:1048-1057. 2010
- M/M/¿ queues in semi-Markovian random environment. QUEUEING SYSTEMS. 58:221-237. 2008
- The Influence of Dependence on Data Network Models. ADVANCES IN APPLIED PROBABILITY. 40:60-94. 2008
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book chapters
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conference contributions
- Proportional switching in FIFO networks 2015
- Proportional switching in FIFO networks 2015
- A processor-sharing heuristic for multipath congestion control 2013
- Equilibrium Strategies for a Tandem Network under Different Information Levels 2012
- Synchronized Barrier Strategies for Dividend Pay-Out: The Markov-Modulated Brownian Motion Model 2011
- Brownian Queues with Modulated Buffer 2010
- Markov Modulated Brownian Motion with Application to Fluid Queues in Random Environment 2010
- Markov-Modulated Two-Sided Skorohod Reflection of Brownian Motion 2010
- Two sided Markov-modulated reflection of Brownian motion. Applications to fluid queues 2010
- Self learning mini-videos through Internet and mobile telephones: a help to the student in the Bologna process 2009
- Two sided reflection of a Markov Modulated Brownian Motion 2009
- Generalized Jordan Chains with Applications to MAP with One-Sided Jump 2008
- Matrix Polynomial Theory Applied to Markov Modulated Brownian Motion 2008
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working papers
- Some results on optimally exercising American put options for time-inhomogeneous processes 2021
- Insider information and its relation with the arbitrage condition and the utility maximization problem 2019
- Optimal exercise of American options under stock pinning 2019
- A short note on "Anticipative Portfolio Optimization" 2018
- Optimal portfolio with insider information on the stochastic interest rate 2017
- Closed queueing networks under congestion: non-bottleneck independence and bottleneck convergence 2012
- A short note on the monotonicity of the Erlang C formula in the Halfin-Whitt regime 2011
- Equilibrium strategies in a tandem queue under various levels of information 2011
- Two-sided reflected Markov-modulated Brownian motion with applications to fluid queues and dividend payouts 2011
- First Passage of a Markov Additive Process and Generalized Jordan Chains 2010
- Two-Sided Reflection Problem for the Markov Modulated Brownian Motion 2010