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ORCIDMark Davis 0001
Person information
- affiliation: Imperial College London, Department of Mathematics, UK
Other persons with the same name
- Mark Davis — disambiguation page
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Journal Articles
- 2015
[j14]Mark H. A. Davis, Sébastien Lleo:
Jump-diffusion asset-liability management via risk-sensitive control. OR Spectr. 37(3): 655-675 (2015)- 2013
- [j13]Mark Davis, Sébastien Lleo:
Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model. SIAM J. Control. Optim. 51(2): 1441-1480 (2013) - 2011
- [j12]Mark Davis, Sébastien Lleo:
Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model. SIAM J. Financial Math. 2(1): 22-54 (2011) - 2010
- [j11]Tomas Björk, Mark H. A. Davis, Camilla Landén:
Optimal investment under partial information. Math. Methods Oper. Res. 71(2): 371-399 (2010) - [j10]Mark H. A. Davis, Xin Guo, Guoliang Wu:
Impulse Control of Multidimensional Jump Diffusions. SIAM J. Control. Optim. 48(8): 5276-5293 (2010) - 2007
- [j9]Mark H. A. Davis, Vicente Mataix-Pastor:
Negative Libor rates in the swap market model. Finance Stochastics 11(2): 181-193 (2007) - 1997
- [j8]Mark H. A. Davis:
A note on the forward measure. Finance Stochastics 2(1): 19-28 (1997) - [j7]Mark H. A. Davis, Wei Xing Zheng:
A new order estimation technique for time series modeling. IEEE Trans. Autom. Control. 42(3): 400-403 (1997) - 1995
- [j6]Mark H. A. Davis, Mihail Zervos:
A new proof of the discrete-time LQG optimal control theorems. IEEE Trans. Autom. Control. 40(8): 1450-1453 (1995) - 1985
- [j5]Mark H. A. Davis:
Filtering and smoothing: An introduction to martingales, stochastic integrals and estimation: V. Krishnan. Autom. 21(2): 217-219 (1985) - 1980
- [j4]Mark H. A. Davis:
Capacity and cutoff rate for Poisson-type channels. IEEE Trans. Inf. Theory 26(6): 710-715 (1980) - 1977
- [j3]C. B. Wan, Mark H. A. Davis:
The general point process disorder problem (Corresp.). IEEE Trans. Inf. Theory 23(4): 538-540 (1977) - [j2]Mark H. A. Davis, E. Andreadakis:
Exact and approximate filtering in signal detection: An example (Corresp.). IEEE Trans. Inf. Theory 23(6): 768-772 (1977) - 1975
- [j1]Adrian Segall, Mark H. A. Davis, Thomas Kailath:
Nonlinear filtering with counting observations. IEEE Trans. Inf. Theory 21(2): 143-149 (1975)
Informal and Other Publications
- 2011
- [i2]Mark Davis, Sébastien Lleo:
Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model. CoRR abs/1102.5126 (2011) - 2008
- [i1]Dorje C. Brody, Mark H. A. Davis, Robyn L. Friedman, Lane P. Hughston:
Informed Traders. CoRR abs/0807.1253 (2008)
Coauthor Index
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