
Stochastic control and
its application to large deviation theory, Ph.D.,Dissertation,
Brown Univ., 1982.

Solutions of certain parabolic eqs. with unbounded coefficients
and its application to nonlinear filtering, Stochastics, 10(1983), 3146.

Stochastic control and principal eigenvalue, Stochastics,
11(1984), 191211.

Asymptotic behavior of transition density of diffusion Markov
process with small diffusion, Stochastics, 13(1984), 131163.

Stochastic control and exit probabilities of jump processes, SIAM
J. Control and Optimization, 23(1985), 306328.

Asymptotic behavior of invariant density of diffusion Markov
process with small diffusion, SIAM J. Math. Analysis, 12(1985), 451460.

(with Y. Chow) On the eigenvalues and eigenfunctions of a
singular perturbed integral equation, J. Integral Equation, 9(1985), 199212.

(with W.H. Fleming) Stochastic variational formula for
fundamental solutions of parabolic PDE, Applied Math. Optim., 13(1985), 193204.

(with C.R. Hwang) Cramer's theorem for certain ergodic processes
in Banach space, Stochastics, 18(1986), 8394.

(with C.R. Hwang) A generalization of Chernoff's inequality via
stochastic analysis, Probab. Th. Rel. Fields, 75(1987), 149157.

(with T.S. Chiang and C.R. Hwang) Diffusion for global
optimization in R^n, SIAM J. Control and Optimization, 25(1987), 737753.

(with T.S. Chiang) Large
deviations of infinite dimensional
OrnsteinUhlenbeck
process on C[0, 1], Stochastics, 23(1988), 159178.

(with W.H. Fleming and
H.M. Soner) On the existence of the
dominant
eigenfunction and its application to the large deviation properties of an
ergodic Markov process, Stochastics, 22(1987), 187199.

(wih C.R. Hwang) On the weak reversibility condition in simulated
annealing, Soochow J. of Math., vol. 15, No. 2, 1989.

Twosided estimates for
the fundamental solution of a second order
parabolic
equation via logarithmic transformation, preprint.

(with C. R. Hwang)
Largetime behavior of perturbed diffusion Markov processes with applications to
the second eigenvalue problem for FokkerPlanck operators and simulated
annealing,
Acta
Applicandae Mathematicae, 19(1990), 253295.

(with C.R. Hwang) On the
behavior of a stochastic algorithm with
annealing, preprint.

Some estimates of the
transition density of a nondegenerate
diffusion
Markov process, Annals of Probab., 19(1991), 538561.

(with C. R. Hwang)
Singular perturbed Markov chains and the exact behaviors of simulated annealing
processes, J. Theoretical
Probab,
5(1992), 223249.

(with C. R. Hwang) A
remark on the ergodicity of systematic sweep in stochastic relaxation, Lecture
Notes in Statistics, 74(1992),
199202,
Springer.

(with A.Frigessi, C. R.
Hwang, P. di Stefano) Convergence rate of the Gibbs sample, the Metropolis
algorithm, and other singlesite
updating
dynamics, J. R. Statist. Soc. B, 55(1993), 205219.

(with C.R. Hwang, S.Y.
HwangMa) Accelerating Gaussian
diffusions, Ann. Appl. Probab., 3(1993), 897913.

(with T.S. Chiang) Large deviation of small perturbation of some
unstable systems, Stochastic Analysis and Applications, 15 (1997)3150.

(with W.H. Fleming) Asymptotics for the principal eigenvalue and
eigenfunction of a nearly first order operator with large potential, Ann. Probab.,
25(1997), 19531994.

(with C.R. Hwang) On the geometrical convergence of Gibbs
sampler in R^d, Journal of Multivariate Analysis 66 (1998), 2237.

(with A. D. Wentzell) On the solutions of the equation arising
from the singular limit of some eigen problems, Stochastic Analysis,
Control, Optimization and Applications, a volumn in honor of Professor W. H.
Fleming on the occasion of his 70th birthday (1999)135151, Birkhauser.

(with W. H. Fleming) Optimal long term growth rate of expected
utility of wealth, Ann. Appl. Probab., 9 (1999), 871903.

(with C.R. Hwang) On some quadratic perturbation of OrnsteinUhlenbeck
processes, Soochow J. Math. 26 (2000) 205244.

(with M. Freidlin) Diffusion processes on graphs: stochastics
differential equations, large deviation principle, Probability Theory and
Related Fields, 116(2000), 181220.

(with T. S. Chiang) Large deviation of diffusion processes and
their occupation times with discontinuous drift, Ann. Probability, 28(2000),
140165.

(with A. Date, C. R. Hwang) On the number of equilibrium states
in weakly coupled random network, Statistics and Probab Letter, 49(2000)
291297.

(with W. H. Fleming) Risk sensitive control and an investment
model, Math. Finance, 10(2000), 197213.

(with T.S. Chiang ) Large deviations of diffusion processes with
discontinuous drift, Stochastic Analysis and Related Topics VII, 159175, Progr.
Probab. 48, Birkhauser Boston, 2001

(with T.S. Chiang) Small perturbation of diffusions in
inhomogeneous media, Annales DE L'Institut Henri Poincare 3(2002), 285318.

(with W. H. Fleming) Risk sensitive control and an investment
model(II), Ann. Applied Probability 12(2002), 730767.

(with H. Kaise) Risk sensitive optimal investment: solutions for
the dynamical programming equation, AMS Contemporary Mathematics Vol 351
(2004), 217230.

(with H. Kaise) Structure on solutions of ergodic type Bellman
equations of first and second orders: some observations through the singular
limits, Stochastic Processes and Its Applications to Mathematical Finance,
Eds. J. Akahori, S. Ogawa and S. Watanabe, World Scientific, 2004, 119132.

(with H. Kaise) Differential games of infsup type and Issacs
equations, Appl. Math. Optim. 52 (2005) 122

(with T. R. Bielecki and S. R. Pliska) Risk sensitive portfolio
management with CoxIngersollRoss interest rates, SIAM J. Control Optimi. 44
(2005) 18111843

(with C. R. Hwang, S. Y. HwangMa) Accelerating diffusions, Ann.
Appl. Probab. 15 (2005) 14331444

(with H. Kaise) On the structure of solutions of ergodic type
Bellman equation related to risksensitive control, Ann. Probab. 34 (2006)
284320.

(with T.S. Chiang and S.Y. Shiu) Price Systems for Markets with
Transaction Costs and Control Problems for Some Finance Problems,IMS Lecture
NotesMonograph Series, Time Series and Related Topics, 52(2006), 257271.

(with H. Kaise) Ergodic type Bellman equations of first order
with quadratic Hamiltonian, Appl. Math. Optim. 59 (2009), 3773.

(with H. Hata and H. Nagai) Asymptotics of downside risk
minimization, Ann. Appl. Probab. 20 (2010), 5289.

(with B. Franke, C.R. Hwang, S.J. Sheu and H.M. Pai) The
behaviour of the spectral gap under growing drift, Transaction AMS 362 (2010),
13251350.

(with W.H. Fleming and H. Kaise) Maxplus stochastic control and
riskseneitivity, to appear in Appl. Math. Optim. (2010).

(with H. Kaise) Evaluation of large time expectations for
diffusion processes, preprint 2005.

(with T. S. Chiang) On option pricing in multiplicative trinomial
models with transaction costs, preprint 2005.

(with T. S. Chiang and S. Y. Shiu) Dynamics of price systems for
multinomial models with transaction costs, preprint 2005.

(with H.Hata) Downside risk probability minimization, preprint
(2008).

(with H. Hata) On the HamiltonJacobiBellman equation for an
optimal consumption problem: I. Existence of Solution. Submitted (2010).

(with H. Hata) On the HamiltonJacobiBellman equation for an
optimal consumption problem: II. Verification Theorem. Submitted (2010).