Research Interests

Stochastic control theory,Queueing networks in heavy traffic and Mathematical finance.

Select Publications :

1.Singular Optimal Strategies for Investment with Transaction Costs, Annals of Applied Probability, Vol. 8, No. 4, (1998), 1312-1330.[pdf]

2. Degenerate Variance Control Strategies for Controlling a Process to a Goal (with D.W.McBeth), Stochastic Processes and their Applications, Vol. 83, No. 1, (1999), 171-187.[pdf]

3. Degenerate Variance Control of a Scalar Ito process, (with Dan Ocone), SIAM Journal of Control and Optimization, Vol.39, No.1, 2000, 1-49.[pdf]

4. Degenerate Variance Control in the One Dimensional Stationary Case. (with Dan Ocone) Electronic Journal of Probability. Vol.8 (2003), 1-27.[pdf]

5. Optimal Portfolio Selection Strategies in the presence of Transaction Costs, (with Q.Meng) International J. of Theoretical and Applied Finance. Vol. 9, (2006), 69-641.

6. A Controller and a Stopper Game with Variance Control for a class of Diffusion Processes, Elec. Comm. In Probab., Vol. 11, (2006), 89-99.[pdf]

7. An Abelian Limit Approach for a Singular Ergodic Control Problem of Diffusion Processes, SIAM Journal of Control and Optimization, Vol.46, (2007), 714-737.[pdf]

8. Optimal Buffer size for a Stochastic Processing Network in Heavy Traffic, (with Arka Gosh), Queueing Systems, Vol. 55, (2007), 147-159.[pdf]

9. A degenerate variance control problem with discretionary stopping, (with Dan Ocone), Markov Processes and Related Topics, Frestchrift in honor of Thomas G. Kurtz, IMS publications, Vol. (2008).[pdf]

10. Optimal buffer size and dynamic rate control for a queueing network with reneging in heavy traffic (with Arka P. Gosh), Stochastic Processes and their Applications, Vol.120, No.11, (2010), 2103-2141.[pdf]

11. Optimal control of a stochastic processing system driven by a fractional Brownian motion input (with Arka Gosh and Alexander Roiteshtein) Advances in Applied Probability, Vol.42, No.1, (2010), 183-209.[pdf]

12. Heavy Traffic analysis of a simple closed-loop supply chain, (with Arka P.Gosh, Sarah M.Ryan, and Lizhi Wang) Stochastic Models, Vol. 26, No. 4, (2010), 549-593.[pdf]

13. Convergence of a Queuing system in heavy traffic with general patience-time distributions, (with Chihoon Lee), Stochastic Processes and their Applications, Vol.121, No.11, (2011), 2507-2552.[pdf]

14. Stationarity and control of a tandem fluid network with fractional Brownian Motion input, (with Chihoon Lee), Advances in Applied Probability, Vol.43, No. 3, (2011), 847-874.[pdf]   

Preprints:

Abandonment vs. Blocking in Many-Server Queues: Asymptotic Optimality in the QED Regime, (with Avishai Mandelbaum), May 2011.[pdf]