publications

Publications

Please note that PDF and Postscript files are of preprints

Books

Numerical Methods for Stochastic Control Problems in Continuous Time (with H. J. Kushner), Second Revised Edition, Springer-Verlag, New York, 2001.

A Weak Convergence Approach to the Theory of Large Deviations (with R. S. Ellis), John Wiley \& Sons, New York, 1997.

Journal Papers

Importance Sampling, Large Deviations, and Differential Games (with H. Wang). PDF
An escape time criterion for queueing networks: Asymptotic risk-sensitive control vial differential games (with Rami Atar and Adam Shwartz). PDF
Large deviation asymptotics for occupancy problems (with Carl Nuzman and Phil Whiting). PDF
Explicit solution to a robust queueing control problem. PDF
Optimal stopping with random intervention times (with H. Wang), Adv.Applied Probability,

34,

Compressed Postscript

On the convergence from discrete to continuous time in an optimal stopping problem (with H. Wang). Compressed Postscript
Large deviations for the empirical measures of reflecting Brownian motion and related constrained processes in R ₊ (with A. Budhiraja). Compressed Postscript
A time-reversed representation for the tail probabilities of stationary reflected Brownian motion (with K. Ramanan), to appear in Stoch. Proc. and Their Appl. Compressed Postscript
An explicit formula for the solution of certain optimal control problems on domains with corners (with K. Ramanan) to appear as an invited paper in a special issue of Probability Theory and Mathematical Statistics dedicated to A. Skorokhod .Compressed Postscript
On positive recurrence of constrained diffusion processes (with R. Atar and A.Budhiraja), Ann. of Probab. 29 (2001), 979-1000. Compressed Postscript
A multiclass feedback queueing network with a regular Skorokhod Problem (with K. Ramanan), Queueing Systems, 36 (2000) pp.327-349. Compressed Postscript
Second order numerical methods for first order Hamilton-Jacobi equations (with A. Szpiro), to appear in SIAM J. on Numerical Analysis. Compressed Postscript
A differential game with constrained dynamics and viscosity solutions of a related HJB equation (with R. Atar), to appear in Nonlinear Analysis: Theory, Methods and Applications.
Convergence of the optimal feedback policies in a numerical method for a class of deterministic optimal control problems (with A. Szpiro), SIAM J. on Control and Opt., 40 (2001) pp. 393-420. Compressed Postscript
A variational representation for positive functionals of infinite dimensional Brownian motion (with A. Budhiraja), Prob. Math. Statist. 20 (2000) pp. 39-61. Compressed Postscript
Large deviations for small noise diffusions with discontinuous statistics (with M. Boué and R. S. Ellis), Prob. Theor. and Rel. Fields,116 (2000) pp. 125-148.
Risk-sensitive and robust escape control for degenerate processes (with M. Boué), Math. of Control, Signals and Systems, 14 (2001) pp. 62-85.
Robust properties of risk--sensitive control (with M. R. James and I. R. Petersen), Math. of Control, Signals and Systems, 13 (2000) pp. 318-332. Compressed Postscript
Minimax optimal control of stochastic uncertain systems with relative entropy constraints (with I. R. Petersen and M. R. James), IEEE Trans. on Auto. Control, 45 (2000) pp. 398-412. Compressed Postscript
Large deviations and queueing networks: methods for rate function identification (with R. Atar), Stoch. Proc. and Their Appl., 84 (1999) pp. 255-296. Compressed Postscript
Simple necessary and sufficient conditions for the stability of constrained processes (with A. Budhiraja),

SIAM J. on Applied Math

Compressed Postscript

Markov chain approximations for deterministic control problems with affine dynamics and quadratic cost in the control (with M. Boué), SIAM J. on Numerical Analysis, 36 (1999), pp. 667-695. Compressed Postscript
Convex duality and the Skorokhod Problem, parts I and II (with K. Ramanan), Prob. Th. and Rel. Fields, 115 (1999), pp. 153-195 and 115 (1999), pp. 197-236. Compressed Postscript
A variational formulation of a problem in image matching (with U. Grenander and M. Miller), Quarterly of Applied Mathematics, 56 (1998), pp. 587-600. Compressed Postscript
A Skorokhod Problem formulation and large deviation analysis of a processor sharing model (with K. Ramanan), Queueing Systems, 28 (1998), pp. 109-124. Compressed Postscript
Large deviation properties of data streams that share a buffer (with K. Ramanan), The Annals of Applied Probability, 8, (1998), pp. 1070-1129. Compressed Postscript
A variational representation for certain functionals of Brownian motion (with M. Boué), Annals of Probability, 26 (1998), pp.1641-1659. Compressed Postscript
Rates of convergence for approximations schemes in optimal control (with M. James), SIAM J. on Control and Opt., 36 (1998), pp. 719-741.
Risk sensitive and robust escape criteria (with W. McEneany), SIAM J. on Control and Opt., 35 (1997), pp.2021-2048.
A nonstandard form of the rate function for the occupation measure of a Markov chain (with O. Zeitouni),

Stoch. Proc. and Their Appl

The large deviation principle for a general class of queueing systems, I (with R. S. Ellis), Transactions of the AMS, 347 (1995), pp. 2689-2751.
A dynamical systems approach for network oligopolies and variational inequalities, (with A. Nagurney and D. Zhang), Annals of Regional Science, 28 (1994), pp. 263-283.
Lyapunov functions for semimartingale reflecting Brownian motions, (with R. J. Williams), The Annals of Probability, 22 (1994), pp. 680-702.
An optimal control formulation and related numerical methods for a problem in shape reconstruction, (with J. Oliensis), The Annals of Applied Probability, 4 (1994), pp. 287-346.
Dynamical systems and variational inequalities, (with A. Nagurney), The Annals of Operations Research, 44 (1993), pp. 9-42.
SDEs with oblique reflections on nonsmooth domains, (with H. Ishii), The Annals of Probability, 21 (1993), pp. 554-580.
Large deviations for Markov processes with discontinuous statistics, II: random walks, (with R. S. Ellis), Probability Theory and Related Fields, 91 (1992), pp. 153-194.
On sampling-controlled stochastic approximation, (with R. Simha), IEEE Trans. on Auto. Control, 35 (1991), pp. 915-925.
Large deviations for Markov processes with discontinuous statistics, I: general upper bounds, (with R. S. Ellis and A. Weiss), The Annals of Probability, 19 (1991), pp. 1280-1297.
On oblique derivative problems for fully nonlinear second-order elliptic PDE's on domains with corners, (with H. Ishii), Hokkiado U. Math. J., 20 (1991), pp. 135-164.
On oblique derivative problems for fully nonlinear second-order elliptic PDE's on nonsmooth domains, (with H. Ishii), J. of Nonlinear Analysis: Theory, Methods and Applications, 15 (1990), pp. 1123-1138.
On Lipschitz continuity of the solution mapping to the Skorokhod Problem, with applications, (with H. Ishii),

Stochastics

A viscosity solution approach to the asymptotic analysis of queueing systems, (with H. Ishii and H. M. Soner),

The Annals of Probability

Minimizing exit probabilities; a large deviations approach (with H. J. Kushner), SIAM J. on Control and Optimization, 27 (1989), pp. 432--445.
Stochastic approximation and large deviations: upper bounds and w.p.1 convergence, (with H. J. Kushner),

SIAM J. on Control and Optimization

Large deviations analysis of some recursive algorithms with state dependent noise, The Annals of Probability, 16 (1988), pp. 1509-1536.
Large deviations analysis of reflected diffusions and constrained stochastic approximation algorithms in convex sets, Stochastics, 21 (1987), pp. 63-96.
Stochastic systems with small noise, analysis and simulation; a phase locked loop example (with H. J. Kushner), SIAM J. on Applied Math., 47 (1987), pp. 643-661.
Asymptotic theory of constrained stochastic approximations via the theory of large deviations (with H. J. Kushner), Probability Theory and Related Fields, 75 (1987), pp. 223-244.
Large deviations estimates for systems with small noise effects, and applications to stochastic systems theory

SIAM J. on Control and Optimization

Stochastic approximation via large deviations: asymptotic properties (with H. J. Kushner), SIAM J. on Control and Optimization, 23 (1985), pp. 675-696.