2 citations · 5 across the 20 of their papers we have counts for
24 papers
Portfolio optimization in incomplete markets and price constraints determined by maximum entropy in the mean
Argimiro Arratia, Henryk Gzyl
A solution to a portfolio optimization problem is always conditioned by constraints on the initial capital and the price of the available market assets. If a risk neutral measure i…
Quantum systems in Markovian environments
Henryk Gzyl
In this work, we develop a mathematical framework to model a quantum system whose Hamiltonian may depend on the state of changing environment, that evolves according to a Markovian…
Ill-posed linear inverse problems with box constraints: A new convex optimization approach
Henryk Gzyl
Consider the linear equation , where is a -matrix, and $\mathbf{y}\in\mathbb…
Canonical equivalence of a charge in a time dependent, spatially-homogeneous electromagnetic field to a time-dependent perturbed oscillator
Henryk Gzyl
Here we prove that the classical (respectively, quantum) system, consisting of a particle moving in a static electromagnetic field, is canonically (respectively, unitarily) equival…
Canonical equivalence of a particle in a magnetic field to a simple oscillator
Henryk Gzyl
It is proved that a classical (respec. quantum) system consisting of a particle in a constant magnetic field is canonically (respec. unitarily) equivalent to a 2-dimensional harmon…
Prediction and estimation of random variables with infinite mean or variance
Victor de la Pena, Henryk Gzyl, Silvia Mayoral +2
In this paper we propose an optimal predictor of a random variable that has either an infinite mean or an infinite variance. The method consists of transforming the random variable…