Bozenna Pasik-Duncan photoBozenna Pasik-Duncan

Professor, Department of Mathematics
503 Snow Hall, University of Kansas
Lawrence, Kansas 66045
Telephone: (785) 864-5162
Email: bozenna@math.ku.edu

Fall 2009 Class:
Math 865 - Introduction to Stochastic Processes

 

Recent Publications:

  1. Parameter continuity of the ergodic cost for a growth optimal portfolio with proportional transaction costs (with T. Duncan and L. Stettner), Proc. CDC’08, Cancun, Mexico.

  2. Growth optimal portfolio under proportional transaction costs with obligatory diversification (with T. Duncan and L. Stettner), Proc. CDC’08, Cancun, Mexico.

  3. Solutions of linear and semilinear distributed parameter equations with a fractional Brownian motion (with T. Duncan and B. Maslowski), J. Adapt. Control Signal Proc., 2009, 23: 114-130.

  4. Adaptive control of a scalar linear stochastic system with a fractional Brownian motion (with T. Duncan), Proc. IFAC World Congress, Seoul, 2008, 4096-4101.

  5. A linear control system model for risk reserves (with T. Duncan and P. Mandl), Proc. American Control Conference, Seattle, 2008, 331-335.

  6. Estimation and Mutual Information (with T. Duncan), Proc. 46th IEEE Conference on Decision and Control, New Orleans, 2007, 324-327.

  7. Some solutions of semilinear stochastic equations in a Hilbert space with a fractional Brownian Motion (with T. Duncan and B. Maslowski), Proc. 45th IEEE Conference on Decision and Control, San Diego, 2006, 3077-3082.

  8. Linear stochastic equations in a Hilbert space with a fractional Brownian motion (with T. Duncan and B. Maslowski), Control Theory Applications in Financial Engineering and Manufacturing (H. Yan, G. Yin and Q. Zhang, eds), Springer (2006), 201-222.

  9. Stochastic Control and Filtering, Guest Editor of the Special Volume with 4 issues: 6.3 and 6.4 (2006) and 7.1 and 7.2 (2007), Communications in Information and Systems Journal.

  10. Semilinear stochastic equations in a Hilbert space with a fractional Brownian motion (with T. Duncan and B. Maslowski), SIAM J. Math. Analysis, to appear.

  11. Some solutions of semilinear stochastic equations in a Hilbert space with a fractional  Brownian motion (with T. Duncan and B. Maslowski), Proc.45-th IEEE Conference on  Decision and Control, San Diego 2006, 3077-3082.

  12. Estimation and tracking for continuous time branching processes (with B. Bercu and T. Duncan), in preparation.

  13. Adaptive Stabilization in the Infinite Dimensional Linear System with State-dependent Noise, in preparation.

  14. On the Identification in Linear Evolution Systems with the Cylindrical Noise, in preparation.

  15. On the Identification in Linear Stochastic Distributed Parameter Systems with Boundary Control, in preparation.

  16. Adaptive control of aggregated autoregressive processes, in preparation.

  17. Adaptive control of partially observable stochastic processes (with T. Duncan) in preparation.

  18. Stochastic Calculus for Fractional Brownian Motion II Identification of Linear Systems  (with T. Duncan and Y. Z. Hu) in preparation.

  19. Remarks on risk sensitive adaptive control of Markov processes (with T. Duncan and L. Stettner), Proc.45-th IEEE Conference on Decision and Control, San Diego 2006, 2861- 2865.
     
  20. A linear control system model for risk reserves (with T. Duncan and P. Mandl), Proc. American Control Conference, Seattle, 2008, to appear.

  21. Stochastic Adaptive Control, to appear in IMA Volumes in Mathematics and its Applications, Springer-Verlag.

  22. Stochastic Adaptive Control for Continuous Time Linear Systems with Quadratic Cost  (with H. F. Chen, T. Duncan), to appear in Journal of Applied Math. and Optimiz.

  23. Linear stochastic equations in a Hilbert space with a fractional Brownian motion (with T. Duncan and B. Maslowski), Control Theory Applications in Financial Engineering and Manufacturing (H. Yan, G. Yin and Q. Zhang, eds.), Springer Science + Business Media, 2006.
         
  24. Stochastic integration for fractional Brownian motion in Hilbert spaces (with T. Duncan and  J. Jakubowski), Stochastics Dynamics, 6, (2006).

  25. Ergodic and adaptive control of hidden Markov models (with T. Duncan and L. Stettner), Math. Met. Oper. Res., 62 (2005).

  26. Stochastic equations in Hilbert space with a multiplicative fractional Gaussian noise (with T. Duncan and B. Maslowski) Stoc. Proc. Appl. 115 (2005), 1357-1383.

  27. Sampling of parameter estimation for a second order linear system with a fractional Brownian motion (with T. Duncan), Proc. Joint 44th IEEE Conference on Decision and Control and European Control Conference, Seville, Spain, 2005, 3135-3139.

  28. Distributed Parameter Systems with a Multiplicative Fractional Gaussian Noise (with T. Duncan), Proc. 16th IFAC World Congress, Prague, July 2005.

  29. Making Connections with Stochastic Modeling, Proc. of the 10th IEEE International Conference on Methods and Models in Automation and Robotics, Miedzyzdroje, Poland, September 17-23, 2004.

  30. Random Walk Around the Problems in Identification and Stochastic Adaptive Control with Application to Finance, Proc. of AMS-SIAM of the Workshop on Mathematics in Finance, Utah, Lectures in Applied Mathematics, 2004.

  31. Editor of the Special Issue on the Stochastic Control Methods in Financial Engineering, IEEE Transactions on Automatic Control, March 2004.
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Updated 05/2009