Amarjit Budhiraja
PUBLICATIONS
45. `Variational Representations for Continuous Time
Processes, with P. Dupuis and V. Maroulas, Submitted
for Publication. PDF File.
44. `On Near Optimal Trajectories of Games
Associated with the infinity-Laplacian’, with
Rami Atar, Submitted
for Publication. PDF File.
43. `A stochastic differential game for the inhomogeneous infinity-Laplace equation’, with Rami Atar, To Appear in Ann. Prob.. PDF File.
42. `An Ergodic Rate Control Problem for Single Class Queueing Networks’, with Arka Ghosh and Chihoon Lee, Submitted for Publication. PDF File.
41. `Large Deviations for Stochastic Flows of Diffeomorphisms’, with
P. Dupuis and V. Maroulas, To
Appear in Bernoulli. PDF File.
40. `Stationary Distribution Convergence for
Generalized Jackson Networks in Heavy Traffic’, with Chihoon Lee, Math. Oper. Res., Vol. 34, No. 1, February 2009, pp. 45-56. PDF File.
39. `Optimal Stopping and Free Boundary
Characterizations for some Brownian Control Problems’, with
Kevin Ross, Ann. App. Prob., 18, no. 6, 2367-2391. PDF File.
38.
`Large Deviations for
Infinite Dimensional Stochastic Dynamical Systems’, with Paul Dupuis
and Vasileios Maroulas, Ann.
Prob., 36, no.
4 (2008), 1390-1420 PDF File.
37. `Deterministic and Stochastic Differential Inclusions with Multiple
Surfaces of Discontinuity’, with Rami Atar and Kavita Ramanan, Probability Theory and Related Fields, 142, no. 1-2 (2008), 249--283. PDF File.
36. `HJB Equations for Certain Singularly Controlled Diffusions’, with
Rami Atar and Ruth J.
Williams, Ann. App. Prob.,
17
(2007),
no.
5-6, 1745—1776, 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. '
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.