- Stochastic control of Markov processes with particular focus on the risk-sensitive criterion
- Mathematical statistics
- Mathematical finance
- Kewin Pączek, Damian Jelito, Marcin Pitera, Agnieszka Wyłomańska, (2024), Goodness-of-fit tests for the one-sided Lévy distribution based on quantile conditional moments , Journal of Applied Statistics, arXiv
- Damian Jelito, Łukasz Stettner, (2024), Long-run impulse control with generalised discounting, SIAM Journal on Control and Optimization 62(2), arXiv
- Piotr Jaworski, Damian Jelito, Marcin Pitera, (2024), A note on the equivalence between the conditional uncorrelation and the independence of random variables , Electronic Journal of Statistics 18(1), arXiv
- Kewin Pączek, Damian Jelito, Marcin Pitera, Agnieszka Wyłomańska, (2023), Estimation of stability index for symmetric α-stable distribution using quantile conditional variance ratios , TEST. An Official Journal of the Spanish Society of Statistics and Operations Research, arXiv
- Damian Jelito, Łukasz Stettner, (2023), Asymptotics
of impulse control problem with multiplicative reward , Applied Mathematics & Optimization 88, arXiv
- Damian Jelito, Łukasz Stettner, (2022), Risk-sensitive optimal stopping
with unbounded terminal cost function, Electronic Journal of Probability 27, arXiv
- Damian Jelito, Marcin Pitera, (2021), New fat-tail normality test based on conditional
second moments with applications to finance, Statistical Papers 62, arXiv
- Damian Jelito, Marcin Pitera, Łukasz Stettner, (2021), Risk sensitive optimal
stopping, Stochastic Processes and their Applications 136, arXiv
- Damian Jelito, Marcin Pitera, Łukasz Stettner, (2020), Long-run risk sensitive impulse control, SIAM Journal on Control and Optimization 58 (4), arXiv
- Jakub Woźny, Piotr Jaworski, Damian Jelito, Marcin Pitera, Agnieszka Wyłomańska,
(2024),
Gaussian dependence structure pairwise goodness-of-fit testing based on conditional covariance and the 20/60/20 rule , arXiv
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Kewin Pączek, Damian Jelito, Marcin Pitera, Agnieszka Wyłomańska, (2024), Conditional correlation estimation and serial dependence identification , arXiv
Conference talks and posters
- LII Conference on the Applications of Mathematics, Kościelisko, 16-21.09.2024, a talk: Gaussian copula goodness-of-fit test based on conditional moments
- 7th Berlin Workshop
on Mathematical Finance for Young Researchers , Berlin, Germany, 4-6.09.2024, a talk:
Impact of non-exponential discounting on long-run impulse control problems
- IFIP TC7 System Modeling and Optimization , Hamburg, Germany, 12-16.08.2024, a talk:
Compact domain approximation of the long-run impulse control with multiplicative functional
- 14th Workshop on Stochastic Models and Control , Graz, Austria, 27.02-01.03.2024, a talk:
Long-run impulse control with generalised discounting
- LI Conference on the Applications of Mathematics, Kościelisko, 11-16.09.2023, a talk: A new characterisation of
independence based on local correlations
- 17. Konferencja z Probabilistyki, Będlewo, 22-26.05.2023, a talk: Asymptotyka problemu sterowania impulsowego z multiplikatywnym funkcjonałem zysku
- Stochastic modeling and control, Będlewo 8-13.05.2023, a talk:
Impulse
control with generalised discounting
-
The Sixteenth Workshop on Nonstationary Systems and their Applications, Gródek and Dunajcem, 6-8.02.2023, a talk: Conditional
correlation and the independence of random variables
-
L
Konferencja Zastosowań Matematyki, Kościelisko, 11-17.09.2022, a talk:
Wrażliwe na ryzyko problemy optymalnego stopowania i niejednoznaczność rozwiązania
równania Bellmana”
- 30th IFIP TC7 Conference on System
modeling and control, Warszawa, 4-8.07.2022, a talk: Long-run impulse control in the risk-sensitive framework
- 13th International Workshop on Stochastic Models and Control, Lübeck-Travemünde,
Germany, 14-18.03.2022, a talk: Risk-sensitive
optimal stopping with an unbounded terminal cost functions
-
XLIX
Konferencja Zastosowań Matematyki, Kościelisko, 20-25.09.2021 , a talk: Optymalne
strategie impulsowe dla długookresowych problemów sterowania
wrażliwych na ryzyko
- European Summer School in Financial Mathematics 14th edition, on-line, 30.08-3.09.2021, a talk: Long-run impulse
control with the risk-sensitive criterion
- 16. Konferencja z Probabilistyki, on-line,
26-30.04.2021, a talk: Stopowanie optymalne z kryterium
wrażliwym na ryzyko i nieograniczoną funkcją kosztu końcowego
- 19th Winter school
on Mathematical Finance
, Lunteren, The Netherlands, 20-22.01.2020 , a poster:
Optimal stopping with the risk sensitive investment
criterion
-
XLVIII Konferencja Zastosowań Matematyki
, Kościelisko, 9-16.09.2019, a talk:
Regularność problemów
optymalnego stopowania z multiplikatywnym funkcjonałem kosztu
-
Jubileuszowy
Zjazd Matematyków Polskich w Stule, cie Polskiego Towarzystwa Matematycznego
,
Kraków, 3-7.09.2019,
a talk: New test of normality based
on conditional second moments with applications to finance
-
Konferencja „Metodologia Badań Statystycznych MET2019” , Główny Urząd Statystyczny, Warszawa, 3-5.07.2019, a poster: Normality test based on the conditional
second moments
-
LII Konferencja Zastosowań Matematyki/LII Conference on the Applications of Mathematics,
Kościelisko, 16-21.09.2024 | website
-
Research workshop "Open mathematical problems in banking", Warszawa, 20-22.11.2023 | website
- LI Konferencja Zastosowań Matematyki/LI Conference on the Applications of Mathematics,
Kościelisko, 11-16.09.2023 | website
-
17. Konferencja z Probabilistyki, Będlewo, 22-26.05.2023 | website
-
Stochastic modeling and control, Będlewo 8-13.05.2023 | website
-
L Konferencja Zastosowań Matematyki, Kościelisko, 11-17.09.2022 | website
-
30th IFIP TC7 Conference on System modeling and control, Warszawa, 4-8.07.2022 | website
-
XLIX Konferencja Zastosowań Matematyko,
Kościelisko, 20-25.09.2021 | website
-
16. Konferencja z Probabilistyki,
on-line, 26-30.04.2021 | website