Publications of G.B.Di Masi
1. H.J. Kushner, G.B. Di Masi, Approximations for functionals and optimal control problems on jump-diffusion processes. J.Math.Anal.Applic. 63, 772-800, 1978
2. G.L. Cariolaro, G.B. Di Masi, Second order analysis of the output of a discrete-time Volterra systemdriven by white noise. IEEE Trans.Info.Theory IT 26, 175-184, 1980
3. G.B. Di Masi, W.J. Runggaldier, An approximation to optimal nonlinear filtering with discontinuous observations. In Stochastic systems: the mathematics of filtering and identification with applications (M. Hazewinkel, J.C. Willems eds.) Reidel, 1981
4. G.B. Di Masi, W.J. Runggaldier, Continuous-time approximations for the nonlinear filtering problem. Appl.Math.Optim. 7,233-245, 1981
5. G.B. Di Masi, W.J. Runggaldier, On approximation methods for nonlinear filtering. In Nonlinear filtering and stochastic control (S.K. Mitter, A. Moro eds.), Lect.Notes in Math. 972, Springer-Verlag, 1982
6. G.B. Di Masi, W.J. Runggaldier, On measure transformations for combined filtering and parameter estimation in discrete time. Syst. Control Lett. 2, 57-62, 1982
7. G.B. Di Masi, W.J. Runggaldier, On robust approximations in nonlinear filtering. In Stochastic Differential Systems (M. Kohlmann, N. Cristopeit eds.), Lect. Notes in Control and Info. Sci. 43, Springer-Verlag, 1982
8. G.B. Di Masi, W.J. Runggaldier, Approximations and bounds for discrete-time nonlinear filtering. In Analyse et Optiminasion des Systemes (A. Bensoussan, J.L. Lions eds.), Lect. Notes in Control and Info. Sci. 44, Springer-Verlag, 1982
9. G.B. Di Masi, W.J. Runggaldier, B. Barozzi, Generalized finite-dimensional filters in discrete time. In Nonlinear Stochastic Problems (R. Bucy, J. Moura eds.), Reidel, 1983
10. G.B. Di Masi, W.J. Runggaldier, Approximations for discrete-time partially observable stochastic control problems. In Filtering and Control of Random Processes (H. Korezlioglu, G. Mazziotto, J. Szpirglas eds.), Lect. Notes in Control and Info. Sci. 61, Springer-Verlag, 1984
11. G.B. Di Masi, M. Pratelli, W.J. Runggaldier, An approximation for the nonlinear filtering problem, with error bound. Stochastics 14, 247-271, 1985
12 G.B. Di Masi, W.J. Runggaldier, B. Armellin, On recursive approximations with error bounds in nonlinear filtering. In Stochastic Optimization (V.I. Arkin, A. Shiryaev, R. Wets eds.), Lect. Notes in Control and Info. Sci. 81, Springer-Verlag, 1986
13. G.B. Di Masi, W.J. Runggaldier, F. Chiariello, On approximation to discrete-time stochastic control problems. In Stochastic Optimization (V.I. Arkin, A. Shiryaev, R. Wets eds.), Lect. Notes in Control and Info. Sci. 81, Springer-Verlag, 1986
14. G.B. Di Masi, L. Finesso, G. Picci, Design of an L.Q.G. controller for single-point-moored large tankers. Automatica 22, 155-169, 1986
15 G.B. Di Masi, W.J. Runggaldier, An approach to discrete-time stochastic control problems under partial observation. SIAM J. Control Optim. 25, 38-48, 1987
16. G.B. Di Masi, W.J. Runggaldier, Asymptotic analysis for piecewise linear filtering. In Analysis and Optimization of Systems (A. Bensoussan, J.L. Lions eds.), Lect. Notes in Control and Info. Sci. 111, Springer-Verlag, 1988
17. G.B. Di Masi, W.J. Runggaldier, An adaptive linear approach to nonlinear filtering. In Applications of Mathematics in Industry and Technology (V. Boffi, H. Neunzert eds.), Teubner-Kluver, 1989
18. G.B. Di Masi, W.J. Runggaldier, On approximations for dynamic programs. Methods of Operations Research 62, 321-326, 1990
19. G.B. Di Masi, A. Gombani, On observation of chaotic systems: an example. In Robust control of linear systems and nonlinear control (M.A. Kaashoek, A.C.M. Ran and J.H. van Schuppen eds.), 489-496, Birkhauser, 1990
20. G.B. Di Masi, M. Angelini, Adaptive methods for piecewise linear filtering. In Nonlinear Synthesis (C.I. Byrnes, A. Kurzhanski eds.), 88-98, Birkhauser, 1990
21. G.B. Di Masi, W.J. Runggaldier Piecewise linear stochastic control with partial observations. In Applied stochastic analysis (M.H.A. Davis and R.J. Elliott eds.) Stochastic Monographs Vol. 5, Gordon and Breach Sc. Publ., New York, 215-235, 1991
22. G.B. Di Masi, P. Kitsul, R.S. Liptser, Minimal dimension linear filters for stationary Markov processes with finite state space. Stochastics and Stoch. Repts . 36, 1-19, 1991
23. G.B. Di Masi, L. Stettner, Adaptive control of a partially observable stochastic system. In Modeling estimation and control of systems with uncertainty (G.B. Di Masi, A. Gombani, A. Kurzhanski eds.), 113-125, Birkhauser, 1991
24. G.B. Di Masi, T.J. Taylor, A new approximation method for nonlinear filtering using nilpotent harmonic analysis. Proc. IEEE Conference on Decision and Control , Brighton, U.K., 1991
25. G.B. Di Masi, Yu. M. Kabanov, The strong convergence of two-scale stochastic systems and singular perturbations of filtering equations. J. Math. Sys. Estim. and Control 3, 207-224, 1993
26. G.B. Di Masi, D.B. Hernandez, T.J. Taylor, A new algorithm for nonlinear filtering. In Computation and Control III (K.L. Bowers and J. Lund eds.), 153-164, Birkhauser, 1993
27. G.B. Di Masi, L. Stettner, On adaptive control of a partially observable Markov chain. Applicationes mathematicae 22, 165-180, 1994
28. G.B. Di Masi, Yu. M. Kabanov, W.J. Runggaldier, Mean variance hedging of options on stocks with Markov volatilities. Th. Prob. Applic. 39, 211-222, 1994 (in Russo).
29. G.B. Di Masi, P.I. Kitsul, Backward representation for nonstationary Markov processes with finite state space. Sys. and Control Letters 22, 445-450, 1994
30. G.B. Di Masi, Yu. M. Kabanov, On sensitive probabilistic criteria in the linear regulator problem with infinite horizon. In Stochastic Processes and Optimal Control (A.A. Novikov ed.), TVP Publishing Company, Moscow, 1994
31. G.B. Di Masi, T.J. Taylor, Nonlinear filtering using harmonic analysis on nilpotent groups. In Proceedings IEEE European Workshop on Computer-intensive Methods in Control and Signal Processing (L. Kulhava, M. Karny, K. Warwick), 47-52, Prague, 1994
32. G.B. Di Masi, Yu. M. Kabanov, A first order approximation for the convergence of distributions of the Cox processes with fast Markov switchings. Stochastics and Stoch. Repts. , 54, 211-219, 1995
33. G.B. Di Masi, L. Stettner, Bayesian ergodic adaptive control of discrete time Markov processes. Stochastics and Stoch. Repts. 54, 301-316, 1995
34. G.B. Di Masi, E. Platen, W.J. Runggaldier, Hedging of options under discrete observation on assets with stochastic volatility. In Seminar on Stochastic Analysis, Random Fields and Applications (E.Bolthausen, M.Dozzi, F.Russo eds.), Progress in Probability Vol.36, 359-364 , Birkhaeuser , 1995
35. G.B. Di Masi, P.I. Kitsul, Minimal dimensional linear filters for discrete-time Markov processes with finite state space. IEEE Trans. on Autom. Control AC-41, 1545-1549, 1996
36. F. Fenato, R. Giorgetti, G.B. Di Masi, S. Zancaner, M. Montisci, A. Rossi, S.D. Ferrara, Opiate-related death: Morphometric study of neurons from the Dorsal Motor Nucleus of the Vagus Nerve. Analytical and Quantitative Cytology and Histology (Analyt Quant Cytol Histol), 18:62, 1996
37. G.B. Di Masi, L. Stettner, Bayesian ergodic adaptive control of diffusion processes. Stochastics and Stoch. Repts. 60, 155-183, 1997
38. T. Bjoerk, G.B. Di Masi, Yu. Kabanov, W.J. Runggaldier, Towards a general theory of bond markets. Finance Stochast. 1, 141-174, 1997
39. G.B. Di Masi, L. Finesso, Bayesian estimators for finite HMM's. International Symposium on Mathematical Theory of Networks and Systems 1996. Rapporto CNR-LADSEB 1997-12, 1997
40. G.B. Di Masi, L. Stettner, Bayesian adaptive control of discrete-time Markov processes with long run average cost. Syst. Control Lett. 34, 55-62, 1998
41. P. Dai Pra, G.B. Di Masi, B. Trivellato, Almost Sure Optimality and Optimality in Probability for Stochastic Control Problems over an Infinite Horizon. Ann. Oper. Res. 88, 161-171, 1999
42. G.B. Di Masi, L. Stettner, Risk-sensitive control of discrete-time Markov processes with infinite horizon. SIAM J.Control Optimization 38, 61-78, 1999
43. G.B. Di Masi, L. Stettner, Risk-sensitive control of discrete-time partially observed Markov processes with infinite horizon. Stochastics Stochastics Rep. 67, 309-322, 1999
44. G.B. Di Masi, L. Stettner, Infinite horizon risk-sensitive control of discrete time Markov processes with small risk. Syst. Control Lett. 40, 15-20, 2000
45. P.Dai Pra, G.B.Di Masi, B.Trivellato, Pathwise optimality in stochastic control. SIAM J.Control Optimization 39, 1540-1557, 2000
46 G.B. Di Masi, L. Stettner, Risk-sensitive control of an ergodic diffusion over an infinite horizon. Proceedings of the Seminar on Stability Problems for Stochastic Models, Part I (Nalpolhkeczow, 1999). J. Math. Sci. 105 no. 6, 2541-2549, 2001
47 G. Celant, G.B. Di Masi, Hermite polynomials expansions for discrete-time nonlinear filtering. Statistica 62, 759-769, 2002
48 G.B. Di Masi, L. Stettner, Ergodicity of hidden Markov models. Math. Control Sign. Sys. 17, 269-296, 2005
49 G.B. Di Masi, L. Stettner, Infinite horizon risk sensitive control of discrete time Markov processes under minorization property. SIAM J. Control Optim. 46, 231-252, 2007
50. G.B. Di Masi, L. Stettner, Remarks on risk neutral and risk sensitive portfolio optimization. In From stochastic calculus to mathematical finance (Yu. Kabanov, R. Liptser, J. Stoyanov eds.), 211-226, Springer-Verlag, 2006
51. G.B. Di Masi, L. Stettner, On additive and multiplicative (controlled) Poisson equations. In Approximation and probability (T. Figiel, A. Kamont eds.), Banach Center Publications, Warsaw Institute of Mathematics Polish Academy of Sciences, vol. 72, 57-70, 2006
52. G. Callegaro, G.B. Di Masi, W.J. Runggaldier, Portfolio optimization in discontinuous markets under incomplete information. Asia-Pacific Financial Markets 13, 373-394, 2007
53. G.B. Di Masi, L. Stettner, Ergodicity of filtering process by vanishing discount approach. Syst. Control Lett. 57, 150-157, 2008
