Explicit solution of a general consumption/investment problem

A Framework Algorithm to Compute Optimal Asset Allocation for Retirement with Behavioral Utilities

Computational Optimization and Applications

Evaluating Portfolio Policies: A Duality Approach

Operations Research

Hedging global environment risks: An option based portfolio insurance

Automatica (Journal of IFAC)

Consumption/investment problem when the investment opportunity set can be enlarged by information gathering

Operations Research Letters

Optimal cash management under uncertainty

Operations Research Letters

A Martingale Approach to Optimal Portfolios with Jump-diffusions

SIAM Journal on Control and Optimization

Habit Formation from Correlation Aversion

Operations Research

Maximization of Recursive Utilities: A Dynamic Maximum Principle Approach

SIAM Journal on Financial Mathematics

Survey paper: A partial history of the early development of continuous-time nonlinear stochastic systems theory

Automatica (Journal of IFAC)