Prof. BENSOUSSAN Alain

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Research Output

  1. 2015
  2. Published

    Entrepreneurial decisions on effort and project with a nonconcave objective function

    Bensoussan, A., Cadenillas, A. & Koo, H. K., 1 Nov 2015, In: Mathematics of Operations Research. 40, 4, p. 902-914

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 7
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  3. Degenerate Dirichlet problems related to the ergodic property of an elasto-plastic oscillator excited by a filtered white noise

    MERTZ, L. & BENSOUSSAN, A., Oct 2015, In: IMA Journal of Applied Mathematics. 80, 5, p. 1387-1408

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 3
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  4. Published

    Well-posedness of mean-field type forward-backward stochastic differential equations

    Bensoussan, A., Yam, S. C. P. & Zhang, Z., 1 Sept 2015, In: Stochastic Processes and their Applications. 125, 9, p. 3327-3354 2778.

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 49
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  5. Published

    Mean Field Games with a Dominating Player

    BENSOUSSAN, A., CHAU, M. H. M. & YAM, S. C. P., 28 Jul 2015, In: Applied Mathematics and Optimization. 74, 1, p. 91-128

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 43
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  6. Published

    The Master Equation in Mean Field Theory

    Bensoussan, A., Frehse, J. & Yam, S. C. P., Jun 2015, In: Journal de Mathématiques Pures et Appliquées. 103, 6, p. 1441-1474

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 87
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  7. Published

    Managing Nonperishable Inventories with Learning about Demand Arrival Rate Through Stock-out Times

    BENSOUSSAN, A. & Guo, P., 13 May 2015, In: Operations Research. 63, 3, p. 602 - 609

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

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  8. Published

    Technical Note—Managing Nonperishable Inventories with Learning About Demand Arrival Rate Through Stockout Times

    Bensoussan, A. & Guo, P., May 2015, In: Operations Research. 63, 3, p. 602-609

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 6
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  9. Published

    An analytical approach for the growth rate of the variance of the deformation related to an elasto-plastic oscillator excited by a white noise

    Bensoussan, A., Feau, C., Mertz, L. & Yam, S. C. P., 2015, In: Applied Mathematics Research eXpress. 2015, 1, p. 99-128

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 5
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  10. Estimation theory for generalized linear models

    Bensoussan, A., Bertrand, P. & Brouste, A., 2015, Future Perspectives in Risk Models and Finance. Besoussan, A., Guegan, D. & Tapiero, C. S. (eds.). Cham: Springer , p. 1-69 (International Series in Operations Research and Management Science; vol. 211).

    Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 12 - Chapter in an edited book (Author) › peer-review

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  11. Published

    Future perspectives in risk models and finance

    BENSOUSSAN, A., Guegan, D. & Tapiero, C. S., 2015, Cham: Springer International Publishing. (International Series in Operations Research & Management Science; vol. 211)

    Research output: Scholarly Books, Monographs, Reports and Case Studies › RGC 11 - Research book or monograph (Author)

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  12. Published

    Mean field Stackelberg games: Aggregation of delayed instructions

    BENSOUSSAN, A., CHAU, M. H. M. & YAM, S. C. P., 2015, In: SIAM Journal on Control and Optimization. 53, 4, p. 2237-2266

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 42
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  13. Published

    On a system of PDEs associated to a game with a varying number of players

    Bensoussan, A., Frehse, J. & Grü, C., 2015, In: Communications in Mathematical Sciences. 13, 3, p. 623-639

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

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  14. Published

    The maximum principle for global solutions of stochastic Stackelberg differential games

    BENSOUSSAN, A., CHEN, S. & SETHI, S. P., 2015, In: SIAM Journal on Control and Optimization. 53, 4, p. 1956-1981

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 106
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  15. 2014
  16. Published

    Stochastic differential games with a varying number of players

    BENSOUSSAN, A., FREHSE, J. & GRÜN, C., Sept 2014, In: Communications on Pure and Applied Analysis. 13, 5, p. 1719-1736

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 3
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  17. Published

    A class of non-zero-sum stochastic differential investment and reinsurance games

    Bensoussan, A., Siu, C. C., Yam, S. C. P. & Yang, H., Aug 2014, In: Automatica. 50, 8, p. 2025-2037

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 109
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  18. Published

    A generalized linear model approach to seasonal aspects of wind speed modeling

    Bensoussan, A., Bertrand, P. & Brouste, A., Aug 2014, In: Journal of Applied Statistics. 41, 8, p. 1694-1707

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 6
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  19. Published

    Mean-Variance Pre-Commitment Policies Revisited Via a Mean-Field Technique

    BENSOUSSAN, A., WONG, K. C. & YAM, S. C. P., 24 Apr 2014, Recent advances in financial engineering 2012: proceedings of the International Workshop on Finance 2012, the University of Tokyo, Japan, 30-31 October 2012. Takahashi, A., Muromachi, Y. & Shibata, T. (eds.). New Jersey: World Scientific, p. 177-198

    Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 12 - Chapter in an edited book (Author)

    Check@CityULib
  20. Published

    Real options with competition and incomplete markets

    Bensoussan, A. & Hoe, S., 1 Jan 2014, Inspired by Finance: The Musiela Festschrift. Kabanov, Y., Rutkowski, M. & Zariphopoulou, T. (eds.). Switzerland: Springer International Publishing, p. 29-45

    Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 12 - Chapter in an edited book (Author) › peer-review

    Check@CityULib

  21. Optimal control of hidden markov models with binary observations

    Komaee, A. & Bensoussan, A., Jan 2014, In: IEEE Transactions on Automatic Control. 59, 1, p. 64-77 6578130.

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 3
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  22. Published

    A trust-score-based access control in assured information sharing systems: An application of financial credit risk score models

    Bensoussan, A., Kantarcioglu, M. & Hoe, S., 2014, In: Risk and Decision Analysis. 5, 2-3, p. 129-138

    Research output: Journal Publications and Reviews › RGC 22 - Publication in policy or professional journal

    Scopus citations: 2
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