Amarjit Budhiraja

PUBLICATIONS

 

41. `Large Deviations for Stochastic Flows of Diffeomorphisms’, with P. Dupuis and V. Maroulas, Submitted for Publication.  PDF File.

40.  `Stationary Distribution Convergence for Generalized Jackson Networks in Heavy Traffic’, with Chihoon Lee, Submitted for Publication.  PDF File.

39.  `Optimal Stopping and Free Boundary Characterizations for some Brownian Control Problems’, with Kevin Ross, To Appear in Ann. App. Prob..  PDF File.

38.    `Large Deviations for Infinite Dimensional Stochastic Dynamical Systems’, with Paul Dupuis and Vasileios Maroulas, To Appear in Ann. Prob..  PDF File.

37.  `Deterministic and Stochastic Differential Inclusions with Multiple Surfaces of Discontinuity’, with Rami Atar and Kavita Ramanan, To Appear in Probability Theory and Related Fields.  PDF File.

36.  `HJB Equations for Certain Singularly Controlled Diffusions’, with Rami Atar and Ruth J. Williams, To Appear in Ann. App. Prob..  PDF file.

35.     `Long time asymptotics for constrained diffusions in polyhedral domains’, with Chihoon Lee ,  Stochastic Processes and their Applications 117 (2007) 1014–1036, PDF File.

34.  `Existence of Optimal Controls for Singular Control Problems with State Constraints’, with Kevin Ross, Ann. App. Prob., 16, no. 4(2006), 2235-2255.   PDF File.

33.  `Convergent Numerical Scheme for  Singular Stochastic Control with State Constraints in a Portfolio Selection Problem’, with Kevin Ross, SIAM J. Cont. Opt., 45  (2007),  no. 6, 2169—2206,  PDF File.

32.  `Diffusion approximations for controlled stochastic networks: An asymptotic bound for the value function’, with Arka Ghosh,  Ann. App. Prob, 16, no. 4 (2006), 1962-2006.  PDF File.

31.  'Molecular Motors, Brownian Ratchets, and Reflected Diffusions', with John Fricks, Discrete and Continuous Dynamical Systems, Series B,  6 , no. 4 (2006), 711-734. PDF File

30. 'Singular Control with State Constraints on Unbounded Domain', with Rami Atar,   Annals of Probability,  34, no. 5 (2006), 1864–1909. PDF File.

29.  'A Large Deviations Approach to Asymptotically Optimal Control of Crisscross Network in Heavy Traffic', with A. P. Ghosh,  Ann. App. Prob. 15 (2005), no. 3, 1887--1935.  PDF File

28.  'Ergodic Control for  Constrained Diffusions: Characterization using HJB Equations', with V. Borkar,  SIAM J. Control Optim. 43 (2004/05), no. 4, 1467--1492 (electronic).  PDF File.

27.  'A Further Remark on Dynamic Programming For Partially Observed Markov Processes', with V. Borkar, Stochastic Processes and their applications, 112 (2004), no. 1, 79-93.  PDF File.

26.  'Stochastic Differential Equation for TCP Window Size: Analysis and Experimental Validation',
with F. Hernandez-Campos, V.G. Kulkarni and F.D. Smith, Probability in the Engineering and Informational Sciences, 18 (2004), 111-140.   PDF File

25.  'Asymptotic Stability, Ergodicity  and other asymptotic properties of the Nonlinear Filter'Annales de l'Institut Henri Poincare: Probabilites et statistiques,39 (2003), no. 6, 919--941, PDF file.

24.  'Stability Properties of Constrained Jump-Diffusion Processes', with R. Atar  Electron. J. Probab. 7 (2002), no. 22, 31 pp. (electronic).

23. 'Large Deviations for the Empirical Measures of Reflecting Brownian Motion and Related Constrained Processes in $\Rplus$', with P. Dupuis, Electron. J. Probab.8 (2003), no. 16, 46 pp. (electronic).PDF file
 

22. 'An Ergodic Control Problem for Constrained Diffusion Processes: Existence of Optimal Markov Control', SIAM J. Control Optim. 42 (2003), no. 2, 532--558

21. 'On Positive Recurrence of Constrained Diffusion Processes', with R. Atar and P. Dupuis, Annals of Probability, 29 (2001), no. 2, 979-1000

20. 'On invariant measures of discrete time filters in the correlated signal-noise case',  Ann . Appl. Probab. 12 (2002), no. 3, 1096--1113.

19. 'Ergodic properties of the nonlinear filter', Stochastic Processes and their applications, 95 (2001) 1-24. PDF file.

18. 'A variational representation for positive functionals of an infinite dimensional Brownian motion', with P.Dupuis. Probab. Math. Statist. 20 (2000), no. 1, 39--61. PDF file.

17. 'Markov Property and Ergodicity of the Nonlinear Filter', with A.G. Bhatt and R.L.Karandikar. SIAM J. Control Optim. 39 (2000), no. 3, 928--949

16. 'Monte Carlo Algorithms and Asymptotic Problems in Nonlinear Filtering', with H.J. Kushner. Stochastics in finite and infinite dimensions, A volume in honor of G. Kallianpur. PDF file.

15. 'A nonlinear filtering algorithm based on an approximation of the conditional distribution', with H.J. Kushner. IEEE Trans. Automat. Control 45 (2000), no. 3, 580--585. Postscript file.

14. 'Exponential stability in discrete time filtering for non-ergodic signals', with D.Ocone. Stochastic Processes and their applications, Vol. 82, (1999), 245-257. PDF file.

13. 'Approximation and limit results for nonlinear filters over an infinite time interval: Part II, random sampling algorithms,' with H. Kushner. SIAM J. Control Optim. 38 (2000), no. 6, 1874--1908. PDF file.

12. 'Representations for functionals of Hilbert space valued diffusions', with P. Dupuis. Stochastic analysis, control, optimization and applications, 1--20, Systems Control Found. Appl., Birkhäuser Boston, Boston, MA, 1999.  PDF file.

11. 'Simple necessary and sufficient conditions for the stability of constrained processes', with P. Dupuis. SIAM J. Appl. Math., Vol. 59, (1999), 1686-1700. PDF file.

10. 'Approximation and limit results for nonlinear filters over an infinite time interval,' with H. Kushner. SIAM J. Cont. Opt., Vol. 37, No. 6, (1999), 1946--1979. PDF file.

9. 'Robustness of nonlinear filters over the infinite time interval,' with H. Kushner. SIAM J. Control and Opt. Vol. 36, (1998), 1618-1637. PDF file.

8. 'A limit theorem for symmetric statistics of Brownian particles.' Stochastic Processes and their Applications, Vol. 77, (1998), 155-174. PDF file.

7. 'Exponential stability of discrete time filters for bounded observation noise', with D. Ocone. System and Control Letters, Vol. 30,(1997) 185-193. PDF file.

6. 'Approximations to solutions of Zakai equations using multiple Wiener and Stratonovich expansions', with G. Kallianpur.  Stochastics and Stochastic Reports, Vol. 3, (1996), 271-315.

5. 'Hilbert space valued traces and multiple Stratonovich integrals with statistical applications', with G. Kallianpur. Probability and Mathematical Statistics, Vol. 15, (1995), 127-163.

4. 'The Feynman-Stratonovich semigroup and Stratonovich integral expansions in nonlinear filtering', with G. Kallianpur. Appl. Math. Optim. Vol. 35, (1997), no. 1, 91--116.

3. 'The generalized Hu-Meyer formula for random kernels', with G. Kallianpur. Appl. Math. Optim. 35 (1997), no. 2, 177--202.

2. 'Two results on multiple Stratonovich integrals', with G. Kallianpur. Statist. Sinica Vol. 7 (1997), no. 4, 907--922.

1. 'Hilbert space valued traces and multiple Stratonovich integrals with statistical applications', with G. Kallianpur. Stochastic analysis on infinite-dimensional spaces (Baton Rouge, LA, 1994), 26--32, Pitman Res. Notes Math. Ser., 310, Longman Sci. Tech., Harlow, 1994.
 

June 5 2006