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RESEARCH ACTIVITIES

Current Research Activities

• Mutual Insurance
• Real Options
• Stochastic Variational Inequalities and Mechanical Structures
• Advanced Inventory Theory
• Alternative Energies
• Mean Field Theory

Please see the full CV for all past research activity.

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BOOKS AND MONOGRAPHS

BOOKS:

• Filtrage Optimal des Systèmes Lineaires (Dunod, 1971).
• Management Application of Modern Control Theory, (North Holland, 1974), with G. HURST & B. NASLUND.
• Applications des Inéquations Variationnelles en contrôle Stochastique, (Dunod, 1978), (English translation: Application of Variational Inequalities in Stochastic Control, North Holland, 1982), with J.L. LIONS.
• Asymptotic Methods in Periodic Media, (North Holland, 1978), with J.L. LIONS & G. PAPANICOLAOU. Published online by Elsevier in 2011
• Stochastic Control by Functional Analysis Methods, (North Holland, 1982).
• Impulse Control and Quasi-Variational Inequalities, (Dunod, 1982), with J.L. LIONS, russian translation, 1987.
• Mathematical Theory of Production Planning, (North Holland, 1983), with M. CROUHY & J. M. PROTH.
• Perturbations Methods in Optimal control, (Dunod-Gauthier Villars, 1988).
• Stochastic Control with Partial Information, (Cambridge University Press, 1992).
• Representation and Control of Infinite Dimensional Systems, (Birkhauser 1992) Vol. 1, with G. DA PRATO, M. DELFOUR ET S.K. MITTER.
• Representation and Control of Infinite Dimensional Systems, (Birkhauser 1993) Vol. 2, with G. DA PRATO, M. DELFOUR et S.K. MITTER.
• Regularity Results for Nonlinear Elliptic Systems and Applications, (Springer 2002), Applied Mathematical Sciences, Vol. 151, (Springer 2002) 443 p. with J. FREHSE.
• Representation and Control of Infinite Dimensional Systems, 2nd Edition, (Birkhauser 2006) with GIUSEPPE DA PRATO, MICHAEL C. DELFOUR and SANJOY K. MITTER.
•  Dynamic Programming and Inventory Control (IOS Press 2011) Vol. 3 Series: Studies in Probability, Optimization and Statistics.

EDITED BOOKS:

• 1st, 2nd, 3rd, 4th, 5th, 6th, 7th, 8th, 9th International Conference on Analysis and Optimization of Systems, (Springer Verlag, Lecture Notes, 1974, 1976, 1978, 1980, 1982, 1984, 1986, 1988, 1990), with J.L. LIONS.
• Applied Optimal Control (North Holland, 1978), with P. KLEINDORFER & C. S. TAPIERO.
• Stochastic Optimal Control and Applications, (North Holland, 1980), with P. KLEINDORFER & C. S. TAPIERO.     
• Mathematical Techniques of Optimization, Control and Decision, (Annals of the CEREMADE), (Birkhauser, 1981), with J. P. AUBIN & I. EKELAND.
• Handbook of Mathematical Modelling and Numerical Methods in Finance, 15(1) (Elsevier, 2008) with Q. ZHANG.

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WORKING PAPERS/WORK IN PROGRESS

Accepted

• Control of Inventories with Markov Demand,  Proceedings of the Workshop on Stochastic Analysis and Related Fields
• Discrete-Time Inventory Problems with Lead Time and Order Time Constraint, D. Hernandez and A. Minjarez-Sosa (Eds.), Birkhauser, with L. BENKHEROUF.
• Evaluating Long-Term Service Performance under Short-Term Forecast Updates. 14th IFAC Symposium on Information Control Problems in Manufacturing, INCOM 2012, Bucharest, Romania, may 23-25, 2012 with Q. FENG and S.P. SETHI.
• Existence and Uniqueness of Solutions for Partially Observed Stochastic Control Problem, S. Cohen, D. Madan, T.K. Siu, and H. Yang (Eds.) World Scientific, with M. ÇAKANYILDIRIM, M. LI and S.P. SETHI.
• Linear quadratic differential games with mixed leadership: The open loop solution, Journal, Numerical Algebra, Control and Optimization, K L Teo and B S Goh (Eds) with S.P. SETHI and Shaokuan CHEN.
• Managing Information Security Under Continuous Drift and Sudden Shocks, CIST 2011, with R. MOOKERJEE, V. MOOKERJEE and W.T. YUE.
• Nash and Stackelberg Differential Games, Chinese Annals of Mathematics, Series B, (vol 3) with J. FREHSE and J. VOGELGESANG
• Obtaining the Critical Excitation for Elastic-Plastic Oscillators by Solving an Optimal Control Problem, Communications in Applied Analysis, with K. CHANDRASEKARAN and J. TURI.
• Real Options and Competition, WSPC Proceedings, withD. DILTZ and Singru HOE

Submitted

• A Game-Theoretical Risk Management Model for Botnet Defense, IEEE Transactions on Systems, Man and Cybernetics, Part B, with S. HOE and M. KANTARCIOGLU.
• A Splitting Method for Band Control of Brownian Motion: With Application to Mutual Reserve Optimization, Operations Research,with John LIU an Jiguang YUAN.
• A Trust-Score-Based Access Control in Assured Information Sharing Systems: An Application of Financial Credit Risk Score Models, Journal on Decision and Risk Analysis, with S. HOE and M. KANTARCIOGLU.
• Degenerate Dirichlet problems Related to the Ergodic property of the elasto-plastic oscillator excited by a filtered white noise, The IMA Journal of Applied Mathematics, with L. MERTZ.
• Impulse Control for Mutual Reserve Optimization, Operations Research, with John LIU and Jiguang YUAN.
• Impulse Control with Random Reaction Periods: A Central Bank Intervention Problem, Operations Research Letters, with Hongwei LONG, Sandun PERERA, S.P. SETHI
• Inventory Control with a Cash Register: Sales Recorded but not demand or shrinkage, Operations Research, with M. ÇAKANYILDIRIM, M. LI, S.P. SETHI and J.A. MINJAREZ-SOSA.
• Linear-Quadratic Mean Field Games, IEEE, with Ka Chun Joseph Sung, Sheung Chi Phillip Yam, Siu Pang Yung
• Market-reaction-adjusted Optimal Central Bank Intervention Policy in the Foreign Exchange Market, Operations Research, with H. LONG, S. PERERA, and S.P. SETHI.
• Optimal Control of Hidden Markov Models with Binary Observations, IEEE Transactions on Automatic Controlwith A. KOMAEE.
• Real Options with Competition and Incomplete Markets, Kabanov (Ed.) with S. HOE.
• The optimal mean variance problem with inflation
• Threshold-Type Policies for Real Options UsingRegime-Switching Models, SIFIN, with Z. F. YAN and G. YIN.

Working Papers

• A Mean/Variance Based Policy for a Partially Observed Zero-Balance Walk Inventory Model with M. ÇAKANYILDIRIM, S. HOE and S.P. SETHI.
• Assessing Loss from Parsimony with M. ÇAKANYILDIRIM, L. CHAN, S. HOE, S.P. SETHI and I. MUNI-TOKE.
• Asymptotic Analysis of a Stochastic Variational Inequality with Jumps with H. JASSO-FUENTES and L. MERTZ.
• Differential Games with Mixed Leadership: The Feedback Solution with T. BASAR and S.P. SETHI.
• Feedback Solution in Linear-Quadratic Stackelberg Differential Games with S.P. SETHI.
• Impulse Control with Random Reaction Periods and its Applications
• Integrating Equipment Investment Strategy with Maintenance Operations under Uncertain Failures,  with Q. FENG & S.P. SETHI.
• Optimal Cash Management with Uncertain Stock Price with A. CHUTANI and S.P. SETHI.
• Optimal Economic Growth with Controlled Population with S.P. SETHI.
• Optimal multi-product dual sourcing procurement decisions with forecast with H. SONG.
• Optimal Ordering Policy and Value of Information under Partially Observed Lost Sales with M. CAKANYILDIRIM, Q. FENG, and S.P. SETHI.
• Real Options in a Stackelberg and a Pre-emption Game with a Geometric Brownian Motion Stochastic Demand with S. HOE and D. DILTZ.
• Renewal and Ergodic Property to the solution of a Stochastic Variational Inequality with Jumps with L. MERTZ.
• Seasonal aspects of the Wind speed modeling with Pierre BERTRAND and Alexandre BROUSTE.
• Stochastic feedback Stackelberg differential games, with SP SETHI and Shaokuan CHEN

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DISTINCTIONS

• Fellow SIAM, 2009
• Member of the French Academy of Sciences, 2003, Correspondent Member, 1986
• Legion d’Honneur (Officier) - 2003
• BundesVerdienst Kreuz (Officier) – 2003
• NASA, Distinguished Public Service Medal – 2001
• Ordre National du Merite (Commandeur) - 2000
• Member of the French Academy of Technology, 2000
• Member of the International Academy of Astronautics -1999
• Member of Academia Europae 1985
• Fellow IEEE - 1985
• Von Humboldt Prize - 1984

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PROFESSIONAL CAREER

• Ashbel Smith Professor, since September 2009; Distinguished Research Professor, School of Management, University of Texas at Dallas, August 2004, September 2009;
• Chair Professor of Risk and Decision Analysis, Graduate School of Business, Polytechnic University of Hong Kong , from January 2009
• WCU (World Class University) Distinguished Professor, Graduate Department of Financial Engineering, Ajou University, since June 2010
• Director, International Center for Decision and Risk Analysis, School of Management, from September 2004
• Full Professor at the University Paris-Dauphine, since 1972, Emeritus Professor since 2004.
• Part time Professor at the Ecole Polytechnique from 1970 to 1986.
• Part time Professor at the Ecole Normale Superieure from 1980 to 1985.
• On Leave at the European Institute for advanced Studies in Management, Brussels, as Professor from 1971 to 1973, then as Director from 1975 to 1977.
• Chairman of the Mathematics Department of the University Paris Dauphine, from 1975 to 1977.
• President of INRIA, Institut National de Recherche en Informatique et Automatique, from 1984 to 1996.
• President of CNES (Centre National d’Etudes Spatiales) from January 1996 to February 2003.
• Chairman of ESA Council (European Space Agency) from July 1999 to July 2002.

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SCIENTIFIC RESPONSIBILITIES

• Associate Editor-in-Chief  Journal of Mathematical Finance, since 2011
• Member of the Advisory Board of  Texas Institute of Science since 2009
• Co Editor in Chief of Risk and Decision Analysis (IOS Press), since 2008.
• Member of the Board of “Fondation du Risque” since  2004
• Editor-in-Chief of Asymptotic Analysis Journal (IOS Press), since 1999
• Member of the Editorial Board
• Applied Mathematics Letters
• Communications in Applied Analysis
• Journal of Applied Mathematics and Optimization 
• Kybernetes
• Management Science and Financial Engineering
• Chairman of AFIRST, Franco-Israeli Association for Science and Technology from 1992 to March 1999.
• Vice Chairman of the IFAC "Mathematics of control” Committee from 1978 to 1981.
•  Member of the organizing Committee of the IFAC World Congress (1981).
• Member of the selection Committee for the session Control Theory and Optimization, International Congress of Mathematics, Helsinki 1978 and Chairman for the same session, Warsaw 1982

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