Preprints

• An Euler scheme for McKean SDEs with Besov drift: convergence rate and implementation (with Luis Mario Chaparro Jáquez, Elena Issoglio)
  Available at arXiv:2603.02793
• Martingale theory for Dynkin games with asymmetric information (with Tiziano De Angelis, Jacob Smith)
  Available at arXiv:2510.15616
• A new discrimination measure for assessing predictive performance of non-linear survival models (with Alfensi Faruk, Georgios Aivaliotis)
  Available at arXiv:2504.05630

Papers

[Stochastic control, games and financial mathematics] [Energy] [Statistics, machine learning and data science] [Finance and mathematical economics] [Other contributions]

Stochastic control, games and financial mathematics

• Convergence rate of numerical scheme for SDEs with a distributional drift in Besov space (with Luis Mario Chaparro Jáquez, Elena Issoglio)
  ESAIM: Mathematical Modelling and Numerical Analysis, 2025, 59 (5), 2717–2738, DOI: 10.1051/m2an/2025064
  Available at arXiv:2309.11396
• Stopper vs. singular-controller games with degenerate diffusions (with Andrea Bovo, Tiziano De Angelis)
  Applied Mathematics and Optimization, 2025, 91:3, DOI: 10.1007/s00245-024-10199-2
  Available at arXiv:2312.00613
• Exit game with private information (with Dharma Kwon)
  Mathematics of Operations Research, 2025, 50 (4), 2433-2469, DOI: 10.1287/moor.2022.0285
  Available at arXiv:2210.01610
• Zero-sum stopper versus singular controller games with constrained control directions (with Andrea Bovo, Tiziano De Angelis)
  SIAM Journal on Control and Optimization, 2024, 62 (4), 2203-2228, DOI: 10.1137/23M1579558
  Available at arXiv:2306.05113
• On the continuity of optimal stopping surfaces for jump-diffusions (with Cheng Cai, Tiziano De Angelis)
  SIAM Journal on Control and Optimization, 2023, 61 (3), 1513-1531, DOI: 10.1137/21M1448094
  Available at arXiv:2109.10810
• The American put with finite-time maturity and stochastic interest rate (with Cheng Cai, Tiziano De Angelis)
  Mathematical Finance, 2022, 32(4), 1170-1213, DOI: 10.1111/mafi.12361
  Available at arXiv:2104.08502 which includes corrections to proofs of Propositions 3.3 and 3.11 from the published version.
• On the value of non-Markovian Dynkin games with partial and asymmetric information (with Tiziano De Angelis, Nikita Merkulov)
  Annals of Applied Probability, 2022, 32(3), 1774-1813, DOI: 10.1214/21-AAP1721
  Available at arXiv:2007.10643
• Optimal hedging of a perpetual American put with a single trade (with Cheng Cai, Tiziano De Angelis)
  SIAM Journal on Financial Mathematics, 2021, 12(2), 823-866, DOI: 10.1137/20M1325265
  Available at arXiv:2003.06249
• Statistical Learning for Probability-Constrained Stochastic Optimal Control (with Alessandro Balata, Michael Ludkovski, Aditya Maheshwari)
  European Journal of Operational Research, 2021, 290(2), 640-656, DOI: 10.1016/j.ejor.2020.08.041
  Available at arXiv:1905.00107
• Regress-Later Monte Carlo for optimal control of Markov processes (with Alessandro Balata), 2017
  Available at arXiv:1712.09705
• Regress-Later Monte Carlo for optimal inventory control with applications in energy (with Alessandro Balata), 2017
  Available at arXiv:1703.06461
• Impulse control maximising average cost per unit time: a non-uniformly ergodic case (with Łukasz Stettner)
  SIAM Journal on Control and Optimization, 55 (2), 2017, 936-960, DOI: 10.1137/16M1085991
  Available at arXiv:1606.08731
• Undiscounted optimal stopping with unbounded rewards (with Łukasz Stettner), 2016
  Available at arXiv: arXiv:1607.06018
• Infinite horizon stopping problems with (nearly) total reward criteria (with Ł. Stettner)
  Stochastic Processes and Their Applications, 124, 2014, 3887-3920, DOI: 10.1016/j.spa.2014.07.009
  Available at arxiv:1401.6905
• Stopping of functionals with discontinuity at the boundary of an open set (with Ł. Stettner)
  Stochastic Processes and Their Applications, 121 (10), 2011, 2361-2392, DOI: 10.1016/j.spa.2011.05.013
  Available at arXiv:1006.4283
• Finite Horizon Optimal Stopping of Discontinuous Functionals with Applications to Impulse Control with Delay (with Ł. Stettner)
  SIAM Journal on Control and Optimization, 48 (8), 2010, 4874-4909, DOI: 10.1137/080737848
  [Preprint]
• Growth-optimal portfolios under transaction costs (with Ł. Stettner)
  Applicationes Mathematicae, 35, 2008, 1-31, DOI: 10.4064/am35-1-1
  Available at arXiv:0707.3198
• Maximization of the portfolio growth rate under fixed and proportional transaction costs (with Ł. Stettner)
  Communications in Information and Systems 7.1, 2007, 31-58, journal version
  [Preprint]
  
• Impulsive control of portfolios (with Ł. Stettner)
  Applied Mathematics and Optimisation 56 (1), 2007, 67-103, DOI: 10.1007/s00245-007-0880-y
  [Preprint]
  
• Portfolio diversification with Markovian prices (with J. Zabczyk)
  Probability and Mathematical Statistics, 25 (1), 2005, 75-95, journal version
  [Preprint]
  
• Arbitrage and pricing in a general model with flows
  Applicationes Mathematicae, 30, 2003, 413-429
  [Preprint]
  

Energy

• Using electricity storage to reduce greenhouse gas emissions (with Andrew Pimm, Edward Barbour, and Tim Cockerill)
  Applied Energy, 2021, 282:A, 116199, DOI: 10.1016/j.apenergy.2020.116199
• Community energy storage: A case study in the UK using a linear programming method (with A. Pimm, T. Cockerill, R. Morris, P. Taylor)
  Energy Conversion and Management, 2020, 205:112388, DOI: 10.1016/j.enconman.2019.112388
• Evaluating the regional potential for emissions reduction using energy storage (with A. Pimm, E. Barbour, T. Cockerill)
  2019 Offshore Energy and Storage Summit, OSES 2019
• Energy imbalance market real options and the valuation of storage (with John Moriarty)
  Risks, 2019, 7(2), no 39, DOI: 10.3390/risks7020039
  Available at arXiv:1610.05325
• Bayesian calibration and number of jump components in electricity spot price models (with Jhonny Gonzalez, John Moriarty)
  Energy Economics, 65, 2017, 375-388, DOI: 10.1016/j.eneco.2017.04.022
  Available at SSRN: http://ssrn.com/abstract=2714382 and arXiv:1601.02900
  Code available for download: https://github.com/jagme/mcmc-nOU
• Real option valuation for reserve capacity (with John Moriarty)
  European Journal of Operational Research, 257 (1), 2017, 251–260, DOI: 10.1016/j.ejor.2016.07.003
  Available at SSRN: http://ssrn.com/abstract=2508258

Statistics, machine learning and data science

• Exact Bayesian inference for Markov switching diffusions (with Timothée Stumpf-Fétizon, Krzysztof Łatuszyński, Gareth Roberts)
  Journal of the Royal Statistical Society: Series B, 2026, qkag115, DOI: 10.1093/jrsssb/qkag115
  Available at arXiv:2502.09126
• A Bayesian Mixture Model Approach to Expected Possession Values in Rugby League (with Tom Sawczuk, Anna Palczewska, Ben Jones)
  PLoS ONE, 2024, 19(11): e0308222, DOI: 10.1371/journal.pone.0308222
  Available at arXiv:2212.10904
• Use of Kernel Density Estimation to understand the spatial trends of attacking possessions in rugby league (with Tom Sawczuk, Anna Palczewska, Ben Jones), 2024
  Advances in Computational Intelligence Systems (Springer), UKCI 2022, Advances in Intelligent Systems and Computing, vol 1454. Springer, Cham, Editors: G. Panoutsos, M. Mahfouf, L.S. Mihaylova, ISBN 978-3-031-55568-8
  DOI: 10.1007/978-3-031-55568-8_18
  Available at arXiv:2206.07930
• Automatic Model Training under Restrictive Time Constraints (with Lukas Cironis, Georgios Aivaliotis)
  Statistics and Computing, 2023, 33:16, DOI: 10.1007/s11222-022-10166-3
  Available at arXiv:2104.10746
• A comparison of time to event analysis methods, using weight status and breast cancer as a case study (with Georgios Aivaliotis, Rebecca Atkinson, Janet Cade, Michelle Morris)
  Scientific Reports, 2021, 11, 14058, DOI: 10.1038/s41598-021-92944-z
  
• A constraint-based frequent pattern mining algorithm and its optimisation for multicore systems (with Sofya Titarenko, Veleryi Titarenko, Georgios Aivaliotis)
  Proceedings of the 2019 Emerging Technology Conference, Editors: M.K. Bane and V. Holmes, ISBN 978-0-9933426-4-6, pages 58-61
  
• Fast implementation of pattern mining algorithms with time stamp uncertainties and temporal constraints (with Sofya Titarenko, Veleryi Titarenko, Georgios Aivaliotis)
  Journal of Big Data, 2019, 6:37, DOI: 10.1186/s40537-019-0200-9
  
• Public services, personal data and machine learning: Prospects for infrastructures and ecosystems (with J. Keen, R. Ruddle, G. Aivaliotis, M. Adnan, A. Palczewska, C. Megone)
  Proceedings of the European Conference on e-Government, ECEG 2019, pages 51-54, DOI: 10.34190/ECDG.19.039
• RobustSPAM for inference from noisy longitudinal data and preservation of privacy (with A. Palczewska, G. Aivaliotis, L. Kowalik)
  16th IEEE International Conference on Machine Learning and Applications (ICMLA), 2017, 344-351, DOI: 10.1109/ICMLA.2017.0-137
• Comparison of the Predictive Performance and Interpretability of Random Forest and Linear Models on Benchmark Datasets (with Richard L. Marchese Robinson, Anna Palczewska, and Nathan Kidley)
  Journal of Chemical Information and Modeling, 57 (8), 2017, 1773-1792, DOI: 10.1021/acs.jcim.6b00753
• Asymptotics of Monte Carlo maximum likelihood estimators (with Błażej Miasojedow, Wojciech Niemiro, Wojciech Rejchel)
  Probability and Mathematical Statistics, 36 (2), 2016, 295-310 (download)
  Available at arXiv:1412.6371
• Adaptive Monte Carlo Maxiumum Likelihood (with Błażej Miasojedow, Wojciech Niemiro, Wojciech Rejchel)
  Challenges in Computational Statistics and Data Mining, Studies in Computational Intelligence, Volume 605, 2016, 247-270, DOI: 10.1007/978-3-319-18781-5_14
  Available at arXiv:1412.6370
• Interpreting random forest classification models using a feature contribution method (with A. Palczewska, R. Marchese Robinson, D. Neagu)
  Integration of Reusable Systems, Advances in Intelligent Systems and Computing, Volume 263, 2014, 193-218, DOI: 10.1007/978-3-319-04717-1_9
  Available at arXiv:1312.1121
• Interpreting random forest models using a feature contribution method (with A. Palczewska, R. Marchese Robinson, D. Neagu)
  Proceedings of IEEE IRI 2013, 112-119, DOI: 10.1109/IRI.2013.6642461

Finance and mathematical economics

• On the solution uniqueness in portfolio optimization and risk analysis (with Bogdan Grechuk and Andrzej Palczewski)
  International Journal of Theoretical and Applied Finance, 2024, 27:05n06, DOI: 10.1142/S0219024924500195
  Available at arXiv:1810.11299
• Black-Litterman Model for Continuous Distributions (with Andrzej Palczewski)
  European Journal of Operational Research, 2019, 273, 708-720, DOI: 10.1016/j.ejor.2018.08.013
  Available at SSRN: http://ssrn.com/abstract=2744621
  R package BLmodel: Black-Litterman Posterior Distribution for computation of a discrete approximation of the posterior distribution in Black-Litterman model. It can be used with the following package for portfolio optimisation.
  R package PortfolioOptim: Small/Large Sample Portfolio Optimization for efficient portfolio optimisation with empirical/simulated distributions.
• Itchy Feet vs Cool Heads: Flow of Funds in an Agent-Based Financial Market (with Klaus Schenk-Hoppé, Tongya Wang)
  Journal of Economic Dynamics and Control, 63, 2016, 53–68, DOI: 10.1016/j.jedc.2015.12.002
  Available at SSRN: http://ssrn.com/abstract=2624975
• Fragmentation and stability of markets (with Daniel Ladley, Terje Lensberg, Klaus Schenk-Hoppé)
  Journal of Economic Behavior & Organization, 119, 2015, 466-481, DOI: 10.1016/j.jebo.2015.09.013
  Available at SSRN: http://ssrn.com/abstract=2304450
• Dynamic Portfolio Optimization with Transaction Costs and State-Dependent Drift (with R. Poulsen, K.R. Schenk-Hoppé, H. Wang)
  European Journal of Operational Research, 243 (3), 2015, 921–931, DOI: 10.1016/j.ejor.2014.12.040
  Available at SSRN: http://ssrn.com/abstract=2346304
• Investment Strategies and Compensation of a Mean-Variance Optimizing Fund Manager (with G. Aivaliotis)
  European Journal of Operational Research, 234 (2), 2014, 561-570, DOI: 10.1016/j.ejor.2013.04.038
  Available at SSRN: http://ssrn.com/abstract=1859289
• Theoretical and Empirical Estimates of Mean-Variance Portfolio Sensitivity (with A. Palczewski)
  European Journal of Operational Research, 234 (2), 2014, 402-410, DOI: 10.1016/j.ejor.2013.04.018
  Available at SSRN: http://ssrn.com/abstract=1553073
• From Discrete to Continuous Time Evolutionary Finance Models (with K.R. Schenk-Hoppé)
  Journal of Economic Dynamics and Control, 34 (5), 2010, 913-931, DOI: 10.1016/j.jedc.2009.12.005
  Previous version available also as Swiss Finance Institute Research Paper No. 08-30, http://ssrn.com/abstract=1288564
• Market Selection of Self-financing Strategies in Continuous Time (with K.R. Schenk-Hoppé)
  Journal of Mathematical Economics, 46 (2), 2010, 248-266, DOI: 10.1016/j.jmateco.2009.11.011
  Previous version available also as Swiss Finance Institute Research Paper No. 08-29, http://ssrn.com/abstract=1288524

Other contributions

• Elliptical Black-Litterman Portfolio Optimization (with Andrzej Palczewski), 2017
  Available at SSRN: http://ssrn.com/abstract=2941483
• Tutorial for Viscosity Solutions in Optimal Control of Diffusions (with G. Aivaliotis), 2010
  Available at SSRN: http://ssrn.com/abstract=1582548
• American options: a cash flows approach, 2005
  Working paper [pdf]
• Impulsowe portfele inwestycyjne: modelowanie rynku, zabezpieczanie, optymalizacja, 2005
  rozprawa doktorska (PhD dissertation - in Polish) [pdf]
• Arbitrage and topology in modelling of financial markets by cash flows, 2003
  Working paper [pdf]