Arrow, K.J., Bensoussan, A., Feng, Q., and Sethi, S.P., “The Genuine Savings Criterion and the Value of Population in an Economy with Endogenous
Fertility Rate,”
Optimal Control of Age-structured Population in Economy, Demography, and the Environment, Routledge
(Taylor & Francis, UK), accepted.
Bensoussan, A., Sethi, S.P., and Chutani, A., “Optimal Cash
Management under Uncertainty,” Operations Research Letters,
37, 425-429. (abstract)
Bensoussan,
A., Keppo, J., and Sethi, S.P., "Optimal Consumption and Portfolio
Decisions with Partially Observable Real Prices," Mathematical Finance,
April 2009, 19(2), 215-236.
(abstract)
Arrow, K.J., Bensoussan, A., Feng, Q., and Sethi, S.P., “Optimal
Savings and the Value of Population,” Proceedings of the National Academy
of Sciences (PNAS), November 20, 2007, 104(47), 18421-18426.
(abstract)
Sethi, S.P., and Taksar, M.I., "Optimal Financing of a Corporation
Subject to Random Returns: A Summary," Proceedings of
41st IEEE CDC, Las Vegas, NV, December 10-13, 2002, 395-397.
Sethi, S.P., "Optimal Consumption - Investment Decisions Allowing
for Bankruptcy: A Brief Survey" in Markov Processes and
Controlled Markov Chains,
H. Zhenting, J.A. Filar, and A. Chen (Eds.), Kluwer Academic Publishers,
Dordrecht, 2002, 371-387.
Sethi, S.P., and Taksar, M.I., "Optimal Financing of a Corporation
Subject to Random Returns," Mathematical Finance, 12(2), April 2002, 155-172. (abstract)
Gordon,
M.J. and Sethi, S.P., "Consumption and Investment When
Bankruptcy is Not a Fate Worse Than Death," in Method, Theory and
Policy in Keynes, Essays in honor of Paul Davidson: Volume 3, Philip
Arestis (Ed.), Edward Elgar Publishing, Northampton, MA, 1998, 88-108.
Sethi, S.P., "Optimal Consumption - Investment Decisions Allowing
for Bankruptcy: A Survey" in Worldwide Asset and Liability Modeling,
W.T. Ziemba and J.M. Mulvey (Eds.), Cambridge University Press, Cambridge,
U.K., 1998, 387-426
Cadenillas, A. and
Sethi, S.P., "Consumption-Investment Problem
with Subsistence Consumption, Bankruptcy, and Random Market Coefficients," Journal
of Optimization Theory and Applications, 93, 1997, 243-272.
(online)
Sethi, S.P., "When
Does the Share Price Equal the Present Value of Future Dividens?," Economic Theory,
8, 1996, 307-319.
Presman, E. and Sethi, S.P., "Distribution of Bankruptcy Time in a
Consumption/ Portfolio Problem," Journal of Economic Dynamics and Control,
20, 1996, 471-477.
(online)
Sethi, S.P. and Taksar, M.I., "Infinite-Horizon Investment
Consumption Model with a Nonterminal Bankruptcy," Journal of
Optimization Theory and Applications, 74(2), Aug. 1992, 333-346.
Sethi, S.P., Taksar, M.I. and Presman, E., "Explicit Solution of a
General Consumption/Portfolio Problem with Subsistence Consumption and
Bankruptcy," Journal of Economic Dynamics and Control, 16, 1992,
747-768; "Erratum," 19, 1995, 1297-1298.
(online)
Sethi, S.P., Derzko, N.A. and Lehoczky, J.P., "A Stochastic
Extension of the Miller-Modigliani Framework," Mathematical Finance,
1(4), 1991, 57-76; "Erratum," 6(4), October 1996,
407-408.
Presman, E. and Sethi, S.P., "Risk-Aversion
Behavior in
Consumption/Investment Problems," Mathematical Finance, 1(1), 1991, 101-124; "Erratum," 1(3), July 1991, p. 86.
Sethi, S.P. and Sorger, G., "An Exercise in Modeling of
Consumption, Import, and Export of an Exhaustible Resource," Optimal
Control Applications and Methods, 11, 1990, 191-196.
Sethi, S.P. and Taksar, M.I., "A Note on Merton's
'Optimum
Consumption and Portfolio Rules in a Continuous-Time Model,'" Journal
of Economic Theory, 46, 1988, 395-401.
(online)
Karatzas, I., Lehoczky, J.P., Sethi, S.P. and Shreve, S.,
"Explicit Solution of a General Consumption/Investment
Problem," Mathematics
of Operations Research, 11(2), May 1986, 261-294.
(online)
Lehoczky, J.P., Sethi, S.P. and Shreve, S., "A Martingale
Formulation for Optimal Consumption/Investment Decision Making," Optimal
Control Theory and Economic Analysis 2, G. Feichtinger (Ed.),
North-Holland, Amsterdam, 1985, 135-153.
Sethi, S.P., Derzko, N.A. and Lehoczky, J.P., "General Solution
of the Stochastic Price-Dividend Integral Equation: A Theory of Financial
Valuation," SIAM Journal on Mathematical Analysis, 15(6),
Nov. 1984, 1100-1113.
Lehoczky, J.P., Sethi, S.P. and Shreve, S.E., "Optimal
Consumption and Investment Policies Allowing Consumption Constraints,
Bankruptcy, and Welfare," Mathematics of Operations Research, 8(4), Nov. 1983, 613-636.
(online)
Sethi, S.P. and Thompson, G.L., "Planning and Forecast Horizons in
a Simple Wheat Trading Model," Operations Research in Progress,
G. Feichtinger and P. Kall (Eds.), Reidel Pub. Co., 1982, 203-214.
Sethi, S.P., Derzko, N.A. and Lehoczky, J.P., "Mathematical
Analysis of the Miller-Modigliani Theory," Operations Research
Letters, 1(4), Sept. 1982, 148-152.
(online)
Sethi, S.P. and Lehoczky, J.P., "A Comparison of
the Ito and
Stratonovich Formulations of Problems in Finance," Journal of
Economic Dynamics and Control, 3, 1981, 343-356.
(online)
Derzko, N.A. and Sethi, S.P., "Optimal Exploration and Consumption
of a Natural Resource: Stochastic Case," International Journal of
Policy Analysis, 5(3) Sept. 1981, 185-200.
Derzko, N.A. and Sethi, S.P., "Optimal Exploration and Consumption
of a Natural Resource: Deterministic Case," Optimal Control
Applications and Methods, 2(1) 1981, 1-21.
Sethi, S.P., "Optimal Depletion of
an Exhaustible Resource," Applied
Mathematical Modeling, 3, Oct. 1979, 367-378.
Sethi, S.P., Gordon, M.J. and Ingham, B., "Optimal Dynamic
Consumption and Portfolio Planning in a Welfare State," TIMS Studies
in the Management Science, 11, 1979, 179-196.
Sethi, S.P., "Optimal Equity
and Financing Model of Krouse and Lee
Corrections and Extensions," Journal of Financial and Quantitative
Analysis, 13(3) Sept. 1978, 487-505.
Quirin, G.D., Sethi, S.P. and Todd, J.D., "Market Feedbacks and
the Limits to Growth," INFOR, 15(1), Feb. 1977, 1-21.
(Also reported by Jean Poulain in the French Canadian Daily La Presse,
Oct. 8, 1977.)
Sethi, S.P. and McGuire, T.W., "Optimal Skill Mix: An Application
of the Maximum Principle for Systems with Retarded Controls," Journal
of Optimization Theory and Applications, 23(2), Oct. 1977,
245-275.
Sethi, S.P., "A
Linear Bang-Bang Model of Firm Behavior and Water Quality," IEEE Transactions on Automatic Control, AC-22(5), Oct. 1977, 706-714.(online)
Sethi, S.P., "Optimal Investment Policy: An Application of Stoke's
Theorem," Journal of Optimization Theory and Applications, 18(2), Feb. 1976, 229-233.
Largay, J. and Sethi, S.P., "A Simplified Control Theoretic
Approach to Gift and Estate Tax Planning," Proceedings of the Midwest AIDS
Conference, Detroit, May 6-7, 1976, 217-220.
Brooks, R., Luan, P., Pritchett, J. and Sethi, S.P., "Examples of
Dynamic Optimal Entry into a Monopoly," SCIMA: Journal of Management
Science and Applied Cybernetics, 3(1), 1974, 1-8.
Sethi, S.P., "Note on Modeling Simple Dynamic Cash Balance
Problems," Journal of Financial and Quantitative Analysis, 8,
Sept. 1973, 685-687; "Errata," 13, Sept. 1978, 585-586.
McGuire, T. and Sethi, S.P., "Optimal and Market Control in a
Dynamic Economic System with Endogenous Heterogeneous Labor," Proceedings
of the IFORS/IFAC International Conference, Coventry, England, July
9-12, 1973, IEE Conference Publication No. 101, 172-185.
Sethi, S.P., "A Useful Transformation of Hamiltonians
Occurring in Optimal
Control Problems in Economic Analyses," Journal of Management
Science and Applied Cybernetics, 2(3), 1973, 115-131.
Sethi, S.P., "A Note on a Planning Horizon Model of Cash
Management," Journal of Financial and Quantitative Analysis,
January 1971, 6(1), 659-664.
Sethi, S.P. and Thomson, G.L., "Applications of Mathematical
Control Theory to Finance: Modeling Simple Dynamic Cash Balance Problems," Journal of Financial and Quantitative Analysis, Dec.
1970, 5(4&5), 381-394.