Concepedia

Giovanni B. Di Masi

GB

14

Publications

738

Citations

13

H-Index

1981

Active since

Affiliations

University of Padua(Current)

Institute of Mathematics

Polish Academy of Sciences

Giovanni B. Di Masi is an author at University of Padua specializing in engineering, probability theory, and systems engineering.

Top concepts

EngineeringProbabilitySystems EngineeringProcess ControlStochastic ProcessesMathematical ProgrammingStochastic AnalysisStochastic CalculusStochastic OptimizationBusiness

Publications per year

1981–2007

14

Publications

14

Mean-Variance Hedging of Options on Stocks with Markov Volatilities

Giovanni B. Di Masi, Yu. M. Kabanov, Wolfgang J. Runggaldier · Theory of Probability and Its Applications · 1995 · 198 citations

Volatility Modeling, Option Pricing, Multivariate Stochastic Volatility +15

Risk-Sensitive Control of Discrete-Time Markov Processes with Infinite Horizon

Giovanni B. Di Masi · SIAM Journal on Control and Optimization · 1999 · 153 citations

Bellman Equation, Engineering, Stochastic Processes +11

Infinite Horizon Risk Sensitive Control of Discrete Time Markov Processes under Minorization Property

Giovanni B. Di Masi, Łukasz Stettner · SIAM Journal on Control and Optimization · 2007 · 92 citations

Mathematical Programming, Minorization Property, Engineering +10

Infinite horizon risk sensitive control of discrete time Markov processes with small risk

Giovanni B. Di Masi, Łukasz Stettner · Systems & Control Letters · 2000 · 66 citations

Stochastic Hybrid System, Discrete Time Markov, Engineering +8

Continuous-time approximations for the nonlinear filtering problem

Giovanni B. Di Masi, Wolfgang J. Runggaldier · Applied Mathematics & Optimization · 1981 · 40 citations

Engineering, Nonlinear Filtering, Filtering Technique +5

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