# School of Mathematics

## Dr Jan Palczewski

Associate Professor in Financial Mathematics

Financial Mathematics

### Contact details

Room: 8.15

Tel: +44 (0)113 3435180

Email: J.Palczewski @ leeds.ac.uk

## Research interests

Markov processes: ergodicity, optimal control theory, incomplete information (filtering); portfolio optimization; inference for continuous-time stochastic processes; estimation and control for energy markets

### Useful links

## Current postgraduate students

Alessandro Balata (2015)

Lloyd Davies (2013)

Zeyu He (2013)

Samuel Sheen (2016)

## Publications

**Moriarty J, Palczewski J** Real option valuation for reserve capacity *European Journal of Operational Research*, **257**, 251-260, 2017

DOI:10.1016/j.ejor.2016.07.003

View abstract

**Palczewski J, Stettner L** Impulse control maximizing average cost per unit time: A nonuniformly ergodic case *SIAM Journal on Control and Optimization*, **55**, 936-960, 2017

DOI:10.1137/16M1085991

View abstract

**Palczewski J, Schenk-Hoppé KR, Wang T** Itchy feet vs cool heads: Flow of funds in an agent-based financial market *Journal of Economic Dynamics and Control*, **63**, 53-68, 2016

DOI:10.1016/j.jedc.2015.12.002

View abstract

**Miasojedow B, Niemiro W, Palczewski J, Rejchel W** Asymptotics of Monte Carlo maximum likelihood estimators *Probability and Mathematical Statistics*, **36**, 295-310, 2016

View abstract

**Ladley D, Lensberg T, Palczewski J, Schenk-Hoppé KR** Fragmentation and stability of markets *Journal of Economic Behavior and Organization*, **119**, 466-481, 2015

DOI:10.1016/j.jebo.2015.09.013

View abstract

**Miasojedow B, Niemiro W, Miasojedow B, Palczewski J, Rejchel W** Adaptive monte carlo maximum likelihood In *Challenges in Computational Statistics and Data Mining*, **605**, 247-270, 2015

DOI:10.1007/978-3-319-18781-5_14

View abstract

**Palczewski J, Poulsen R, Schenk-Hoppé KR, Wang H** Dynamic portfolio optimization with transaction costs and state-dependent drift *European Journal of Operational Research*, **243**, 921-931, 2015

DOI:10.1016/j.ejor.2014.12.040

View abstract

**Palczewski J, Stettner L** Infinite horizon stopping problems with (nearly) total reward criteria *Stochastic Processes and their Applications*, **124**, 3887-3920, 2014

DOI:10.1016/j.spa.2014.07.009

View abstract

**Palczewski A, Palczewski J** Theoretical and empirical estimates of mean-variance portfolio sensitivity *European Journal of Operational Research*, **234**, 402-410, 2014

DOI:10.1016/j.ejor.2013.04.018

View abstract

**Aivaliotis G, Palczewski J** Investment strategies and compensation of a mean-variance optimizing fund manager *European Journal of Operational Research*, **234**, 561-570, 2014

DOI:10.1016/j.ejor.2013.04.038

View abstract

**Palczewska AM, Palczewski J, Marchese Robinson R, Neagu D** Interpreting random forest classification models using a feature contribution method In *Integration of Reusable Systems*, **263**, 193-218, 2014

DOI:10.1007/978-3-319-04717-1_9

View abstract

**Palczewska A; Palczewski J; Robinson RM; Neagu D ** *Interpreting random forest models using a feature contribution method*Information Reuse and Integration (IRI), 2013 IEEE 14th International Conference on, 112-119-112-119 2013

DOI:10.1109/IRI.2013.6642461

View abstract

**Palczewski J, Stettner L** Stopping of functionals with discontinuity at the boundary of an open set *Stochastic Processes and their Applications*, **121**, 2361-2392, 2011

DOI:10.1016/j.spa.2011.05.013

View abstract

**Palczewski J, Schenk-Hoppe KR** From discrete to continuous time evolutionary finance models *J ECON DYN CONTROL*, **34**, 913-931, 2010

DOI:10.1016/j.jedc.2009.12.005

**Palczewski J, Schenk-Hoppe KR** Market selection of constant proportions investment strategies in continuous time *J MATH ECON*, **46**, 248-266, 2010

DOI:10.1016/j.jmateco.2009.11.011

**Palczewski J, Stettner L** Finite horizon optimal stopping of time-discontinuous functionals with applications to impulse control with delay *SIAM Journal on Control and Optimization*, **48**, 4874-4909, 2010

DOI:10.1137/080737848

View abstract

**Palczewski J, Schenk-Hoppe KR** Market Selection of Self-financing Strategies in Continuous Time *Journal of Mathematical Economics*, **42**, 248-266, 2010

DOI:10.1016/j.jmateco.2009.11.011

**Palczewski J, Stettner L** Growth-optimal portfolios under transaction costs *Applicationes Mathematicae (Warsaw)*, **35**, 1-31, 2008

DOI:10.4064/am35-1-1

View abstract

**Palczewski J, Stettner L** Impulsive control of portfolios *Applied Mathematics and Optimization*, **56**, 67-103, 2007

DOI:10.1007/s00245-007-0880-y

View abstract

**Palczewski J, Stettner L** Maximization of the portfolio growth rate under fixed and proportional transaction costs *Communications in Information and Systems*, **7**, 31-58, 2007

DOI:10.4310/CIS.2007.v7.n1.a3

View abstract

**Palczewski J, Zabczyk J** Portfolio diversification with Markovian prices *Probability and Mathematical Statistics*, **25**, 75-95, 2005

View abstract

**Palczewski J** Arbitrage and pricing in a general model with flows *Applicationes Mathematicae*, **30**, 413-440, 2003

DOI:10.4064/am30-4-4

**Gonzalez J, Moriarty J, Palczewski J** Bayesian calibration and number of jump components in electricity spot price models *Energy Economics*

DOI:10.1016/j.eneco.2017.04.022

View abstract

© Copyright Leeds 2011