Daniel Hernández–Hernández

Risk sensitive control of Markov processes in countable state space

Daniel Hernández–Hernández, Steven I. Marcus · Systems & Control Letters · 1996 · 126 citations

Stochastic Hybrid System, Engineering, Risk Sensitive Control +8

An optimal consumption model with stochastic volatility

Wendell H. Fleming, Daniel Hernández–Hernández · Finance and Stochastics · 2003 · 123 citations

Dynamic Economic Model, Volatility Modeling, Multivariate Stochastic Volatility +8

Risk-Sensitive Control of Finite State Machines on an Infinite Horizon I

Wendell H. Fleming, Daniel Hernández–Hernández · SIAM Journal on Control and Optimization · 1997 · 97 citations

Stochastic Hybrid System, Engineering, Infinite Horizon +15

A control approach to robust utility maximization with logarithmic utility and time-consistent penalties

Daniel Hernández–Hernández, Alexander Schied · Stochastic Processes and their Applications · 2006 · 79 citations · Full text

Mathematical Programming, Economics, Time-consistent Penalties +12

Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management

Tomasz R. Bielecki, Daniel Hernández–Hernández, Stanley R. Pliska · Mathematical Methods of Operations Research · 1999 · 78 citations

Mathematical Programming, Portfolio Optimization, Engineering +10