Publications
Selected publications
- Optimal stochastic regulators with state-dependent weights (Journal article - 2019)
- Stochastic minimum-energy control (Journal article - 2015)
- Robust risk-sensitive control (Journal article - 2023)
- Backward stochastic differential equations with an unbounded generator (Journal article - 2019)
- Voronoi means, moving averages, and power series (Journal article - 2017)
- Logarithmic moving averages (Journal article - 2015)
2024
Optimal Regulator for Linear Stochastic Systems with Multiple State-Delay
Alasmi, N., & Gashi, B. (n.d.). Optimal Regulator for Linear Stochastic Systems with Multiple State-Delay. Memorias del Congreso Nacional de Control Automático, 7(1), 368-374. doi:10.58571/cnca.amca.2024.063
Optimal investment in a market with borrowing, quadratic-affine interest rates, and Heston stochastic volatility
Alasmi, N., & Gashi, B. (n.d.). Optimal investment in a market with borrowing, quadratic-affine interest rates, and Heston stochastic volatility. Memorias del Congreso Nacional de Control Automático, 7(1), 262-267. doi:10.58571/cnca.amca.2024.045
Indefinite Optimal Stochastic Regulator for a Class of Nonlinear Stochastic Systems
Algoulity, M., & Gashi, B. (2024). Indefinite Optimal Stochastic Regulator for a Class of Nonlinear Stochastic Systems. IFAC-PapersOnLine, 58(17), 139-144. doi:10.1016/j.ifacol.2024.10.127
Optimal Investment in a Market with Borrowing, the CIR Interest Rate Model, and the Heston Volatility Model
Alasmi, N., & Gashi, B. (2024). Optimal Investment in a Market with Borrowing, the CIR Interest Rate Model, and the Heston Volatility Model. IFAC-PapersOnLine, 58(17), 55-60. doi:10.1016/j.ifacol.2024.10.113
Robust control of linear stochastic systems with affine plus integral state feedback
Gashi, B., & Hua, H. (2024). Robust control of linear stochastic systems with affine plus integral state feedback. IFAC-PapersOnLine, 58(17), 79-84. doi:10.1016/j.ifacol.2024.10.117
Optimal investment in a market with borrowing and the Heston volatility model
Alasmi, N., & Gashi, B. (2024). Optimal investment in a market with borrowing and the Heston volatility model. In 2024 10th International Conference on Control, Decision and Information Technologies (CoDIT) (pp. 848-853). IEEE. doi:10.1109/codit62066.2024.10708611
Optimal regulator for linear stochastic systems with state-delay and random time-horizon
Alasmi, N., & Gashi, B. (2024). Optimal regulator for linear stochastic systems with state-delay and random time-horizon. In 2024 10th International Conference on Control, Decision and Information Technologies (CoDIT) (pp. 1637-1642). IEEE. doi:10.1109/codit62066.2024.10708170
Optimal Investment in a Market with Borrowing, Unbounded Random Coefficients, and a Random Time-Horizon
Alasmi, N., & Gashi, B. (2024). Optimal Investment in a Market with Borrowing, Unbounded Random Coefficients, and a Random Time-Horizon. In 2024 UKACC 14th International Conference on Control (CONTROL) (pp. 248-253). IEEE. doi:10.1109/control60310.2024.10531992
Indefinite mixed H₂/H<sub>∞</sub> control of linear stochastic systems
Gashi, B., & Hua, H. (2024). Indefinite mixed H₂/H<sub>∞</sub> control of linear stochastic systems. In 2024 Australian & New Zealand Control Conference (ANZCC) (pp. 265-270). IEEE. doi:10.1109/anzcc59813.2024.10432835
2023
Indefinite Risk-Sensitive Control for a Class of Nonlinear Systems
Algoulity, M., & Gashi, B. (2023). Indefinite Risk-Sensitive Control for a Class of Nonlinear Systems. In 2023 9th International Conference on Control, Decision and Information Technologies (CoDIT) (pp. 1694-1699). IEEE. doi:10.1109/codit58514.2023.10284452
Optimal Financial Benchmark Tracking in a Market with Unbounded Random Coefficients
Algoulity, M., & Gashi, B. (2023). Optimal Financial Benchmark Tracking in a Market with Unbounded Random Coefficients. In 2023 9th International Conference on Control, Decision and Information Technologies (CoDIT) (pp. 2241-2246). IEEE. doi:10.1109/codit58514.2023.10284390
Optimal Investment in a Market with Borrowing and a Combined Interest Rate Model
Alasmi, N., & Gashi, B. (2023). Optimal Investment in a Market with Borrowing and a Combined Interest Rate Model. In 2023 9th International Conference on Control, Decision and Information Technologies (CoDIT) (pp. 01-06). IEEE. doi:10.1109/codit58514.2023.10284252
Optimal regulator for a class of nonlinear stochastic systems with random coefficients
Algoulity, M., & Gashi, B. (2023). Optimal regulator for a class of nonlinear stochastic systems with random coefficients. European Journal of Control, 100844. doi:10.1016/j.ejcon.2023.100844
Optimal investment in a market with borrowing, unbounded random coefficients, and a combined interest rate model
Aljalal, A., & Gashi, B. (2023). Optimal investment in a market with borrowing, unbounded random coefficients, and a combined interest rate model. In 2023 EUROPEAN CONTROL CONFERENCE, ECC. Retrieved from https://www.webofscience.com/
Robust risk-sensitive control
Hua, H., Gashi, B., & Zhang, M. (2023). Robust risk-sensitive control. International Journal of Robust and Nonlinear Control. doi:10.1002/rnc.6655
2022
Indefinite risk-sensitive control
Gashi, B., & Zhang, M. (2022). Indefinite risk-sensitive control. European Journal of Control. doi:10.1016/j.ejcon.2022.100741
Optimal investment in a market with borrowing and quadratic-affine interest rates
Aljalal, A., & Gashi, B. (2022). Optimal investment in a market with borrowing and quadratic-affine interest rates. In 2022 EUROPEAN CONTROL CONFERENCE (ECC) (pp. 1146-1151). Retrieved from https://www.webofscience.com/
Optimal investment and consumption in a market with Markovian switching coefficients and borrowing
Aljalal, A., & Gashi, B. (2022). Optimal investment and consumption in a market with Markovian switching coefficients and borrowing. In 2022 IEEE 17th International Conference on Control & Automation (ICCA) (pp. 166-171). IEEE. doi:10.1109/icca54724.2022.9831877
Optimal investment in a market with random interest rate for borrowing: an explicit closed-form solution
Aljalal, A., & Gashi, B. (2022). Optimal investment in a market with random interest rate for borrowing: an explicit closed-form solution. In 2022 8TH INTERNATIONAL CONFERENCE ON CONTROL, DECISION AND INFORMATION TECHNOLOGIES (CODIT'22) (pp. 764-769). doi:10.1109/CODIT55151.2022.9804053
Optimal investment in a market with borrowing and unbounded random coefficients
Aljalal, A., & Gashi, B. (2022). Optimal investment in a market with borrowing and unbounded random coefficients. In 2022 UKACC 13TH INTERNATIONAL CONFERENCE ON CONTROL (CONTROL) (pp. 142-147). doi:10.1109/Control55989.2022.9781439
2021
Optimal regulators for a class of nonlinear stochastic systems
Gashi, B., & Hua, H. (2021). Optimal regulators for a class of nonlinear stochastic systems. International Journal of Control. doi:10.1080/00207179.2021.1982014
2019
Optimal stochastic regulators with state-dependent weights
Gashi, B. (2019). Optimal stochastic regulators with state-dependent weights. SYSTEMS & CONTROL LETTERS, 134. doi:10.1016/j.sysconle.2019.104522
Integrability of exponential process and its application to backward stochastic differential equations
Gashi, B., & Li, J. (2019). Integrability of exponential process and its application to backward stochastic differential equations. IMA JOURNAL OF MANAGEMENT MATHEMATICS, 30(4), 335-365. doi:10.1093/imaman/dpy008
Backward stochastic differential equations with an unbounded generator
Gashi, B., & Li, J. (2019). Backward stochastic differential equations with an unbounded generator. Stochastics and Dynamics, 19(1). doi:10.1142/S0219493719500084
2017
Voronoi means, moving averages, and power series
Bingham, N. H., & Gashi, B. (2017). Voronoi means, moving averages, and power series. Journal of Mathematical Analysis and Applications, 449(01), 682-696. doi:10.1016/j.jmaa.2016.12.004
2016
Voronoi means, moving averages, and power series
2015
Stochastic minimum-energy control
Gashi, B. (2015). Stochastic minimum-energy control. SYSTEMS & CONTROL LETTERS, 85, 70-76. doi:10.1016/j.sysconle.2015.08.012
Logarithmic moving averages
Bingham, N. H., & Gashi, B. (2015). Logarithmic moving averages. Journal of Mathematical Analysis and Applications, 421(2), 1790-1802. doi:10.1016/j.jmaa.2014.08.031
Linear backward stochastic differential systems of descriptor type with structure and applications to engineering
Gashi, B., & Pantelous, A. A. (2015). Linear backward stochastic differential systems of descriptor type with structure and applications to engineering. PROBABILISTIC ENGINEERING MECHANICS, 40, 1-11. doi:10.1016/j.probengmech.2015.02.003
2014
Stochastic minimum-energy control
Backward stochastic differential equations with unbounded generators
Logarithmic moving averages
Generalised Risk-Sensitive Control in Infinite Horizon
Gashi, B., & Zhang, M. (2014). Generalised Risk-Sensitive Control in Infinite Horizon. In Vulnerability, Uncertainty, and Risk (pp. 1067-1075). American Society of Civil Engineers. doi:10.1061/9780784413609.108
Risk-Sensitive Control for a Class of Nonlinear Square-Root Processes
Fei, F., & Gashi, B. (2014). Risk-Sensitive Control for a Class of Nonlinear Square-Root Processes. In Vulnerability, Uncertainty, and Risk (pp. 1076-1085). American Society of Civil Engineers. doi:10.1061/9780784413609.109
Robust Stabilization and Robust<i>H</i><sub>∞</sub>Control of Uncertain Linear Stochastic Systems with Markovian Switching
Gashi, B., & Hua, H. (2014). Robust Stabilization and Robust<i>H</i><sub>∞</sub>Control of Uncertain Linear Stochastic Systems with Markovian Switching. In Vulnerability, Uncertainty, and Risk (pp. 1047-1056). American Society of Civil Engineers. doi:10.1061/9780784413609.106
Linear stochastic systems of descriptor type
Gashi, B., & Pantelous, A. (2014). Linear stochastic systems of descriptor type. In Unknown Conference (pp. 1047-1054). CRC Press. doi:10.1201/b16387-154
Controllability and Controller-Observer Design for a Class of Linear Time-Varying Systems
Date, P., & Gashi, B. (2014). Controllability and Controller-Observer Design for a Class of Linear Time-Varying Systems. Journal of Mathematical Modelling and Algorithms in Operations Research, 13(1), 103-112. doi:10.1007/s10852-012-9212-6
Generalised Risk-Sensitive Control with Full and Partial State Observation
Date, P., & Gashi, B. (2014). Generalised Risk-Sensitive Control with Full and Partial State Observation. Journal of Mathematical Modelling and Algorithms in Operations Research, 13(1), 87-101. doi:10.1007/s10852-012-9205-5
2013
Risk-sensitive control for a class of nonlinear systems with multiplicative noise
Date, P., & Gashi, B. (2013). Risk-sensitive control for a class of nonlinear systems with multiplicative noise. Systems & Control Letters, 62(10), 988-999. doi:10.1016/j.sysconle.2013.07.007
Linear Backward Stochastic Differential Equations of Descriptor Type: Regular Systems
Gashi, B., & Pantelous, A. A. (2013). Linear Backward Stochastic Differential Equations of Descriptor Type: Regular Systems. STOCHASTIC ANALYSIS AND APPLICATIONS, 31(1), 142-166. doi:10.1080/07362994.2013.741400
2012
Two methods for optimal investment with trading strategies of finite variation
Gashi, B., & Date, P. (2012). Two methods for optimal investment with trading strategies of finite variation. IMA Journal of Management Mathematics, 23(2), 171-193. doi:10.1093/imaman/dpr009
2006
A derivation of conventional portfolios and a new linear utility method
Gashi, B. (2006). A derivation of conventional portfolios and a new linear utility method. In 2006 American Control Conference (pp. 6 pp.). IEEE. doi:10.1109/acc.2006.1655492
Portfolio control using the linear utility and differntiable trading strategies
Gashi, B. (2006). Portfolio control using the linear utility and differntiable trading strategies. In 2006 American Control Conference (pp. 1948-1953). IEEE. doi:10.1109/acc.2006.1656505
2005
Optimal Portfolio Control with Trading Strategies of Finite Variation
Gashi, B., & Date, P. (n.d.). Optimal Portfolio Control with Trading Strategies of Finite Variation. In Proceedings of the 44th IEEE Conference on Decision and Control (pp. 4536-4541). IEEE. doi:10.1109/cdc.2005.1582877
Undated
Backward stochastic differential equations with unbounded coefficients and their applications
Li, J. (n.d.). Backward stochastic differential equations with unbounded coefficients and their applications. (PhD Thesis, University of Liverpool).
Risk-sensitive control for a class of non-linear systems and its financial applications
Fei, F. (n.d.). Risk-sensitive control for a class of non-linear systems and its financial applications. (PhD Thesis, University of Liverpool).