World's Best Scientists 2026 revealed!

D-Index & Metrics

Social Sciences and Humanities

D-Index
38
Citations
6814
World Ranking
5907
National Ranking
2814

Overview

Tomasz R. Bielecki is affiliated with the Illinois Institute of Technology in the United States. Their research spans multiple fields, including Mathematics, Decision Sciences, and Economics, Econometrics and Finance. The scientist's work focuses on subfields such as Finance, Management Science and Operations Research, Statistics and Probability, Applied Mathematics, and Artificial Intelligence.

The main topics in their research include stochastic processes and financial applications, probability and risk models, point processes and geometric inequalities, risk and portfolio optimization, probabilistic and robust engineering design, diffusion and search dynamics, and statistical methods and inference.

Selected recent papers by Tomasz R. Bielecki are:

  • "Semimartingales and shrinkage of filtration," 2021, The Annals of Applied Probability
  • "Risk filtering and risk-averse control of Markovian systems subject to model uncertainty," 2023, Mathematical Methods of Operations Research
  • "Wiener-Hopf factorization technique for time-inhomogeneous finite Markov chains," 2020, Stochastics
  • "Construction and Simulation of Generalized Multivariate Hawkes Processes," 2022, Methodology And Computing In Applied Probability
  • "Multivariate Hawkes processes with simultaneous occurrence of excitation events coming from different sources," 2022, Stochastic Models

Frequent co-authors in their research include:

  • Jacek Jakubowski
  • Mariusz Niewęgłowski
  • Igor Cialenco
  • Ziteng Cheng
  • Ruoting Gong

The scientist has contributed regularly to several publication venues, notably:

  • arXiv (Cornell University), with 9 publications
  • Stochastics, with 2 publications
  • Stochastic Models, with 2 publications
  • International Journal of Theoretical and Applied Finance, with 2 publications
  • The Annals of Applied Probability, with 1 publication

In addition to articles, Tomasz R. Bielecki has authored a book published by Cambridge University Press titled Structured Dependence between Stochastic Processes (2020).

Best Publications

  • Credit Risk: Modeling, Valuation and Hedging

    Tomasz R. Bielecki;Marek Rutkowski

  • Optimality of zero-inventory policies for unreliable manufacturing systems

    T. Bielecki;P. R. Kumar

  • CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION

    Tomasz R. Bielecki;Hanqing Jin;Stanley R. Pliska;Xun Yu Zhou

  • Risk-Sensitive Dynamic Asset Management

    T. R. Bielecki;S. R. Pliska

  • Hedging of Defaultable Claims

    Tomasz R. Bielecki;Monique Jeanblanc;Marek Rutkowski

  • Risk sensitive asset management with transaction costs

    Tomasz R. Bielecki;Stanley R. Pliska

  • Counterparty Risk and Funding: A Tale of Two Puzzles

    Stéphane Crépey;Tomasz R. Bielecki;Damiano Brigo

  • Algorithms for singularly perturbed limiting average Markov control problems

    M. Abbad;J.A. Filar;T.R. Bielecki

  • Multiple Ratings Model of Defaultable Term Structure

    Tomasz R. Bielecki;Marek Rutkowski

  • Portfolio optimization with a defaultable security

    Tomasz R. Bielecki;Inwon Jang

  • Pricing and trading credit default swaps in a hazard process model

    Tomasz R. Bielecki;Monique Jeanblanc;Marek Rutkowski;Marek Rutkowski

  • Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management

    Tomasz R. Bielecki;Daniel Hernández-Hernández;Stanley R. Pliska

  • Risk sensitive asset allocation

    Tomasz R. Bielecki;Stanley R. Pliska;Michael Sherris

  • Risk-sensitive ICAPM with application to fixed-income management

    T.R. Bielecki;S.R. Pliska

  • Economic Properties of the Risk Sensitive Criterion for Portfolio Management

    Tomasz R. Bielecki;Stanley R. Pliska

  • Up and down credit risk

    Tomasz R. Bielecki;Stéphane Crépey;Monique Jeanblanc

  • Arbitrage pricing of defaultable game options with applications to convertible bonds

    Tomasz R. Bielecki;Stéphane Crépey;Monique Jeanblanc;Marek Rutkowski

  • Valuation and Hedging of Contracts with Funding Costs and Collateralization

    Tomasz R. Bielecki;Marek Rutkowski;Marek Rutkowski

  • CVA Computation for Counterparty Risk Assessment in Credit Portfolios

    Samson Assefa;Tomasz R. Bielecki;Stéphane Crépey;Monique Jeanblanc

  • VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL

    T. R. Bielecki;S. Crépey;M. Jeanblanc;B. Zargari

  • Credit risk modeling

    Tomasz R. Bielecki;Monique Jeanblanc;Marek Rutkowski

Frequent Co-Authors

P. R. Kumar
P. R. Kumar Texas A&M University
Walter Schachermayer
Walter Schachermayer University of Vienna

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