Prof. Dr. Arunabha Bagchi

List of Publications


Technical

International Journal Papers

  1. (with S.I. Aihara and E. Imreizeeq) Identification of electricity spot models using convolution particle filter. International Journal of Innovative Computing, Information and Control, 7(1), 61-72, 2011.
  2. (with S.I. Aihara) Identification of affine term structures from yield curve data. International Journal of Theoretical and Applied Finance, 13(2), 259-283, 2010.
  3. (with S.I. Aihara) Parameter estimation of term structures modeled by stochastic hyperbolic systems. International Journal of Innovative Computing, Information and Control, 6(1), 171-182, 2010.
  4. (with S.I. Aihara and S. Saha) On parameter estimation of stochastic volatility models from stock data using particle filter - application to AEX index. International Journal of Innovative computing, Information and Control, 5(1), 17-27, 2009.
  5. (with Y. Boers, H. Driessen, P.K. Mandal and S. Saha) Gaussian proposal density using moment matching in SMC methods. Statistics and Computing, 19(2), 203-208, 2009.
  6. (withR. Mazumdar and H.I. Nurdin) Reduced dimension linear transform coding of distributed correlated signals with incomplete observations. IEEE Transactions on Information Theory, 55(6), 2848-2858, 2009.
  7. (with K. Suresh Kumar) Dynamic asset management with risk sensitive criterion and nonnegative factor constraints: a differential game approach. Stochastics: An International journal of Probability and Stochastic Processes, 81(5), 503-530, 2009.
  8. (with S. I. Aihara) Filtering and identification of Heston's stochastic volatility model and its market risk. Journal of economic dynamics & control, 30(12), 2363-2388, 2006.
  9. (with S. I. Aihara) Filtering and identification of stochastic volatility for parabolic type factor models. International journal of innovative computing, information and control, 2(5), 1-9, 2006.
  10. (with H. I. Nurdin) On the solutions of the rational covariance extension problem corresponding to pseudopolynomials having boundary zeros. IEEE transactions on automatic control, 51(2), 350-355, 2006.
  11. (with S. I. Aihara) Stochastic hyperbolic dynamics for infinite-dimensional forward rates and option pricing. Mathematical finance, 15(1), 27-47, 2005.
  12. (with M. K. Ghosh) Controlled stochastic hybrid processes with discounted cost. Bulletin of Kerala Mathematics Association, Vol. 1, Nr. 1, June 2004 (pp. 82-96), 2004.
  13. (with S.I. Aihara) Estimation of stochastic volatility in the Hull-White model. Applied Mathematical Finance, 7, (pp. 153-181). ISSN 1350-486X, 2000.
  14. (with S. I. Aihara) On the Mortensen Equation for Maximum Likelihood State Estimation. IEEE transactions on automatic control, (nr: 14), (pp. 1955-1961). ISSN 0018-9286, 1999
  15. (with R. Mazumdar) A representation result for nonlinear filter maps in a white noise framework. IEEE transactions on automatic control, (nr: 44), (pp. 124-129). ISSN 0018-9286, 1999.
  16. (with M. K. Ghosh) Stochastic games with average payoff criterion. Applied Mathematics Optimization 38, pp. 283-301, 1998.
  17. (with H. F. Chen) Optimal adaptive control for a class of stochastic systems. Sadhana -- Academy Proceedings in Engineering Sciences (Special Invited Issue on Optimization and Control), V. S. Borkar, V. Chandru, S. Sathiya Keerthi (Guest Eds.), Vol. 22, Nr. 4, 1997, pp. 485-498.
  18. (with M. Vellekoop) Adaptive identification of continuous-time systems in the presence of noise.  International Journal on Control, 68, No. 1, 1997, pp. 171-195.
  19. (with S.I. Aihara) `Nonlinear smoothing for random fields,' Stochastic Processes and their Applications, 55 (1995), pp. 143-158.
  20. (with R.W. Dijkerman and R.R. Mazumdar) `Reciprocal processes on a tree-modeling and estimation issues,' IEEE Trans. Autom. Contr., Vol. 40, No. 2, 1995, pp. 330-335.
  21. (with R. R. Mazumdar and R. Kannurpatti) `On input/output maps for nonlinear systems via continuity in a locally convex topology, Systems \& Control Letters 24 (1995), pp. 273-281.
  22. (with R.R. Mazumdar) `On the relation between filter maps and correction factors in likelihood ratios, IEEE Trans. on Information Theory, Vol. 41, No. 3, pp. 833-836, 1995.
  23. (with S.K. Bose) Acoustic plane wave reflection from a composite laminate: normal incidence, Journal of Sound and Vibration 173, No. 1 (1994), pp. 43-55.
  24. (with P. ten Brummelhuis) Parameter identification in tidal models with uncertain boundaries, Automatica, Vol. 30, No. 5 (1994), pp. 745-759.
  25. (with R. Karandikar) White noise theory of robust nonlinear filtering with correlated state and observation noises, Systems \& Control Letters 23 (1994), pp. 137-148.
  26. (with R. Mazumdar) Some recent results in finitely additive white noise theory, Acta Applicandae Mathematicae 35 (1994), pp. 27-47.
  27. (with M. Kelemen) Modeling and feedback control of a flexible arm of a robot for prescribed frequency-domain tolerances, Automatica, 29, pp. 899-909, 1993.
  28. (with R. Mazumdar) On Radon-Nikodym derivatives of finitely additive measures induced by nonlinear transformations on Hilbert space, Journal of Nonlinear Analysis: Theory, Methods, and Applications, 21, pp. 879-902, 1993.
  29. (with S.I. Aihara) Parameter identification for hyperbolic stochastic systems, J. Mathematical Analysis and Applications, 160, pp. 485-499, 1991.
  30. (with S.I. Aihara) Infinite dimensional parameter identification for stochastic parabolic systems, Statistics \& Probability Letters, 8, pp. 279-287, 1989.
  31. (with H. Westdijk) Smoothing and likelihood ratio for Gaussian boundary value processes, IEEE Transactions on Automatic Control, AC-34, pp. 954-962, 1989.
  32. (with S.I. Aihara) Parameter identification for stochastic diffusion equations with unknown boundary conditions, J. Applied Mathematics and Optimization, 17, pp. 15-36, 1988.
  33. (with S.I. Aihara) Linear-quadratic stochastic differential games for distributed parameter systems, Computers and Mathematics with Applications (special issue on Pursuit-Evasion Differential Games), 13, pp. 247-259, 1987.
  34. Nonlinear smoothing using white noise model, Stochastics, 17, pp. 289-312, 1986.
  35. Cylindrical measures in Hilbert space and likelihood ratio for two-parameter signals in additive white noise, Control – Theory and Advanced Technology, 1, pp. 139-153, 1985.
  36. Identification of a hereditary system with distributed delay, Systems and Control Letters, 5, pp. 339-345, 1985.
  37. Approximation of Itˆo integrals arising in stochastic time-delayed systems, SIAM J. on Control and Optimization, 22, pp. 878-888, 1984.
  38. (with V. Borkar) Parameter identification in infinite dimensional linear systems, Stochastics, 12, pp. 201-213, 1984.
  39. (with G.J. Olsder) A numerical study of a stochastic differential game with different noisy observations for the players, J. of the Franklin Institute (special issue on Distributed Parameter Systems), 315, pp. 423-433, 1983.
  40. (with V. Borkar) Parameter estimation in continuous-time stochastic processes, Stochastics, 8, pp. 193-212, 1982.
  41. (with R.C.W. Strijbos) Decoupled decomposition of the Riccati equation, IEEE Transactions on Automatic Control, AC-27, pp. 696-698, 1982.
  42. (with T. Basar and R.C.W. Strijbos) New formulas for open and closed loop LQ control laws and related numerical considerations, Proceedings of the IFAC Symposium on the Theory and Applications of Digital Control, Jan. 5-7, New Delhi, 1982.
  43. (with R.C.W. Strijbos) Regional allocation of investment: new problems in hierarchical control, Large Scale Systems, 3, pp. 89-95, 1982.
  44. (with T. Basar) Stackelberg strategies in linear quadratic stochastic differential games, J.O.T.A., 35, pp. 443-464, 1981.
  45. (with G.J. Olsder) Linear-quadratic stochastic pursuit-evasion games, J. Applied Mathematics and Optimization, 7, pp. 95-123, 1981.
  46. (with G.J. Olsder and R.C.W. Strijbos) Regional allocation of investment as a hierarchical optimization problem, Regional Science and Urban Economics, 11, pp. 205-213, 1981.
  47. A note on asymptotically efficient estimates of parameters in continuous time dynamical systems, SIAM J. on Control and Optimization, 19, pp. 169-176, 1981.
  48. (with T. Basar) Team decision theory for linear continuous-time systems, IEEE Transactions on Automatic Control, AC-25, pp. 1154-1161, 1980.
  49. (with T. Schilperoort) Optimal linear stochastic control for systems with multiplicative noise, IEEE Transactions on Automatic Control, AC-25, pp. 1005-1007, 1980.
  50. (with M. van Maarseveen) Modelling and estimation of traffic flow – a martingale approach, Int. J. Systems Science, 11, pp. 429-444, 1980.
  51. (with R. Strijbos and G. Th´e) Identification of a distributed parameter system with boundary noise, Int. J. Systems Science, 11, pp. 49-56, 1980.
  52. Generalized measure and likelihood functional in continuous linear stochastic dynamical systems, Bulletin of the Calcutta Mathematical Society, 72, pp. 1-10, 1980.
  53. (with G.J. Olsder and M. Moraal) Linear-quadratic stochastic difference games with identical observations, Operations Research Verfahren, 34, pp. 251-259, 1978.
  54. Control of linear stochastic time delayed systems, J. Math. Analysis and Applications, 63, pp. 244-252, 1978.
  55. Consistent estimates of parameters in noisy dynamical systems, Int. J. Control, 26, pp. 883-900, 1977.
  56. (with H. Kwakernaak) A minimax property of the Kalman filter, Int. J. Control, 26, pp. 369-377, 1977.
  57. Stochastic linear differential game with a square integrable martingale as noise, IEEE Transactions on Automatic Control, AC-21, pp. 764-766, 1976.
  58. A martingale approach to state estimation in delay differential systems, J. Math. Analysis and Applications, 56, pp. 195-210, 1976.
  59. A new martingale approach to Kalman filtering, Information Sciences, 10, pp. 187-192, 1976.
  60. Continuous time systems identification with unknown noise covariance, Automatica, 11, pp. 533-536, 1975.
  61. A martingale approach to continuous time linear smoothing, SIAM J. Applied Mathematics, 28, pp. 276-281, 1975.

Chapters in Books

  1. (with S. I. Aihara) Parameter Estimation of Parabolic Type Factor Models and Empirical Study of US Treasury Bonds, in Syatem Modeling and Optimization, F. Ceragioli, A. Doutchev, H. Furita, K. Marti and L. Pandolfi (Eds.), IFIP International Federation for information Processing, a Springer Series in Computer Science, pp. 207-217, 2006
  2. (with J. Krystul and H. A. P. Blom) Stochastic Differential Equations on Hybrid State Spaces, in Stochastic Hybrid Systems: Recent Development and Research Trends, C.G. Cassandras and J. Lygeros (Eds.), Automation and Control Engineering, Series 24, Taylor & Fransis CRC Press, pp. 15-46, 2006.
  3. (with M.K. Ghosh) Modeling stochastic hybrid systems. In J. Cagnol \& J.P. Zolesio (Eds.), System Modeling and Optimization (pp. 269-280). Kluwer Academic Publishers, 2005.
  4. (with K. S. Kumar) Dynamic asset management: Risk sensitive criterion with nonnegative factors constraints. Yong, J. (Ed.), Recent Developments in Mathematical  Finance, (pp. 1-11). World Scientific Publishing Singapore, ISBN 981-02-4797-4, 2002.
  5. (with S. I. Aihara) A Semigroup approach to the Maximum Likelihood State Estimation of Stochastic Parabolic Systems. Progress in Nonlinear Differential Equations and Their Applications. Birkhauser Verlag, Basel. (pp. 1-14), ISBN 3-7643-6310-X, 2000.
  6. (with M. Kelemen and J. Starrenburg) Control of a flexible arm for prescribed frequency domain tolerances: modelling, controller design, laboratory experiments, in Robotic Systems: Advanced Techniques and Applications, S.G. Tzafestas (ed.), Kluwer Academic Publishers, Dordrecht, pp. 193-204, 1992.
  7. (with R. Mazumdar) Direct modelling of white noise in stochastic systems, in Statistical Theory of Identification and Adaptive Conrol, L. Gerensc´er and P.E. Caines (eds.), Lecture Notes in Control and Information Sciences, Vol. 161, Springer-Verlag, Berlin, 1991.
  8. (with S.I. Aihara) Smoothing and identification for random fields, in Advances in Communication and Control Systems, N. DeClaris (ed.), Optimization Software Inc., Los Angeles, 1988.
  9. Some economic applications of dynamic Stackelberg games, in Dynamic Games and Applications in Economics, Tamer Basar (ed.), Lecture Notes in Economics and Mathematical Systems, Vol. 265, Springer-Verlag, Berlin, 1986.
  10. (with R. Mazumdar) A finitely additive white noise approach to filtering for two parameter diffusion processes, in Theory and Applications of Nonlinear Control Systems, C.I. Byrnes and A. Lindquist (eds.), North Holland, Amsterdam, 1986.
  11. (with M. Moraal and G.J. Olsder) Optimization in hierarchical setting of a simple world industrialization model, in System Modelling and Optimization, R.F. Drenick and F. Kozin (eds.), Lecture Notes in Control and Information Sciences, vol. 38, Springer-Verlag, Berlin, 1982.
  12. Consistent estimates of parameters in continuous time systems, in Analysis and Optimization of Stochastic Systems, O. Jacobs et al (eds.), Academic Press, New York, 1980.
  13. (with H. Kwakernaak) The separation principle for the control of linear stochastic systems with arbitrary information structure, in Optimization Techniques, Part 1, Lecture Notes in Control and Information Sciences, Vol. 6, Springer-Verlag, Berlin, 1978.
  14. Linear smoothing in Hilbert space, in Modelling and Identification of Distributed Parameter Systems, Lecture Notes in Control and Information Sciences, Vol. 1, Springer-Verlag, Berlin, 1976.

Conference Proceedings

  1. (with S.I. Aihara and E. Imreizeeq) Identification of electricity spot models from futures prices. In Proceedings of the 41st ICSIE International Symposium on Stochastic System Theory and OIts Applications, Kobe, Japan (pp. 217-222), 2010.
  2. (with Y. Boers, H. Driessen and P.K. Mandal) Particle filter based entropy. In Proceedings of the 13th International Conference on Information Fusion, Edinburgh, United Kingdom (pp. ), 2010.
  3. (with S.I. Aihara and E. Imreizeeq) Parameter stimation of electricity spot models from futures proces, In Proceedings of the 15th IFC Symposium on System Identification, Saint-Malo, France (pp. 1457-1462), 2009.
  4. (with Y. Boers, H. Driessen, P.K. Mandal and S. Saha) Partcle filter based MAP state estimation: a comparison. In Proceedings of the 12th International Conference on Information Fusion, Seattle, U.S.A. (pp. ), 2009.
  5. (with Y. Boers, H. Driessen, P.K. Mandal and S. Saha) Parameter estimation in general state space model from short observation data. In Proceedings of the 15th IEEE/SP Workshop on Statistical Signal Processing, Cardiff, United Kingdom (pp. 41-44), 2009.
  6. (with P.K. Mandal and S. Saha) A new approach to particle based smoothed marginal MAP. In Proceedings of the 16th European Signal Processing Conference (EUSIPCO 2008), Lausanne, Switzerland (pp. 25-29), 2008.
  7. (with S.I. Aihara and S. Saha) Estimating volatility and model parameters of stochastic volatility models with jumps using particle filter. In Proceedings of the17th IFAC World Congress, Seoul, South Korea (pp. 6490-6495), 2008.
  8. (with S.I. Aihara) Recursive parameter identification for infinite-dimensional factor model using particle filter. In Proceedings of the 38th ISCIE International Symposium on Stochastic System Theory and Its Applications,  Nagano, Japan (pp. 40-45), 2007.
  9. (with S. I. Aihara) Filtering and identification of interest rate model with stochastic volatility. In Proceedings CDC-ECC'05, Seville, Spain  (pp. 5227-5232), IEEE/EUCA, 2005.
  10. (with S. I. Aihara) Filtering and identification of stochastic volatility for infinite-dimensional factor model. In Proceedings of JAFEE 2005 Winter Meeting  (pp. 220-235), 2005
  11. (with S. I. Aihara) Parameter identification of parabolic factor model. In Proc. of the 36th ISCIE International Symposium on Stochastic System Theory and Its applications  (pp. 126-131), 2004.
  12. (with J. Krystul). Approximation of first passage times of switching diffusion. Proc. 16th Intern. Symposium on Mathematical Theory of Networks and Systems [MTNS-2004], Leuven, Belgium, July 5-9, (15 pp.), 2004.
  13. (with H. I. Nurdin and R. Mazumdar) On the estimation and compression of distributed correlated signals with incomplete observations. Proc. 16th Intern. Symposium on Mathematical Theory of Networks and Systems [MTNS-2004], Leuven, Belgium, July 5-9, (19 pp.), 2004.
  14. (with H. I. Nurdin) On the solutions of the rational covariance extension problem corresponding to pseudopolynomials having boundary zeros. Proc. 43rd. IEEE Conference on Decision and Control [CDC-2004], December 14-17, Paradise Island, The Bahamas, (6 pp.), 2004.
  15. (with S. I. Aihara) Filtering of stochastic volatility and identification of marked price of volatility risk. Proc. of the 34th ISCIE Intern. Symp. on Stochastic Theory and its Applications, Fukuoka, Japan (pp. 108-113), 2003.
  16. (with S. I. Aihara) Filtering of stochastic volatility model. Proc. of the 13th IFAC SYSID 03 (pp. 1719-1724). Rotterdam, 2003.
  17. (with S. I. Aihara) Optimal portfolio control for parabolic type factor model with power utility. Proc. of  JAFEE Intern. Conf. and the 6th Columbia-JAFEE  Meeting 2003, Tokyo, Japan (pp. 265-278), 2003.
  18. (with S. I. Aihara) Stochastic hyperbolic dynamics for infinite-dimensional forward rates and option pricing contingent claims. Proc. of  JAFEE Intern. Conf. and the 6th Columbia-JAFEE  Meeting 2003, Tokyo, Japan (pp. 116-137), 2003.
  19. (with S. I. Aihara) Stochastic parabolic model for infinite-dimensional forward rate and mean-variance optimal control. Preprints 15th Triennial World Congress of the Intern. Federation of Automatic Control, Barcelona. (pp. 1952-1957), ISBN 008-044184X, 2002.
  20. (with S. I. Aihara) Stochastic volatility estimation with application to option pricing, Proceedings of the 31st ISCIE Intern. Symposium on Stochastic Systems Theory and Its Applications, Yokohama, Japan (pp. 321-326), 2000.
  21. (with S. I. Aihara) On maximum likelihood nonlinear filter under discrete-time observations. Automatic Control Conference., San Diego, 1999.
  22. (with S. I. Aihara) On maximum likelihood state estimation for stochastic parabolic systems with unknown boundary conditions. Proceedings of the MTNS-98 Symposium, Mathematical Theory of Networks and Systems.(pp. 691-694). Padova, Italy. ISBN 88-7115-117-8, 1999.
  23. (with S. I. Aihara) Asymptotic behaviour of the minimum energy filter as a recursive parameter estimator. Proceedings 35th IEEE Conference on Decision and Control, Kobe, Japan, December 11-13, 1996, pp. 3547-3552.
  24. (with E. P.Hupkens) Detection of parametric changes in autoregressive fields. Proceedings of the 5th Intern. Conf. on Advances in Communications and Control, Rethymnon, Crete, Greece, 1995, pp. 780-791. (Published in1996.)
  25. (with S. I. Aihara) `On the Mortensen equation for maximum likelihood state estimate, Proceedings of the third European Control Conference, Roma, Italy, September 5-8, 1995, pp. 1714-1719.
  26. (with M. Vellekoop) `Adaptive identification by stochastic approximation, Proceedings IEEE 34th Conference on Decision and Control, New Orleans, December 13-15, 1995, pp. 3865-3866.
  27. (with S. I. Aihara) Smoothing for nonlinear stochastic boundary value processes, Systems and Networks: Mathematical Theory and Applications, Proc. Intern. Symp. MTNS'93, Regensburg, Germany, August 2-6, 1993, Volume II, Invited and Contributed Papers (eds. U. Helmke, R. Mennicken, J. Saurer), Akademie Verlag, 1994, pp. 31-34.
  28. (with S. I. Aihara) Smoothing for nonlinear elliptic boundary value processes, COMCON4-1993: 4th Intern. Conf. on Advances in Communication \& Control Proc. (ed. A.V. Balakrishnan), UNLV, 1994, pp. 800-806.
  29. (with R. W. Dijkerman and R.R. Mazumdar) Modeling and estimation of multi - resolution reciprocal processes on N-ary trees, Proc. 7th SP Workshop on Statistical Signal \& Array Processing, June 1994, Quebec, Canada, pp. 247-250.
  30. (with R. Luesink) Approximations for the likelihood ratio for continuous multi-parameter stochastic processes, Proceedings of the 32nd IEEE Conference on Decision and Control, San Antonio, Texas, pp. 1559-1563, 1993.
  31. (with S.I. Aihara) Maximum likelihood estimation for two-point boundary value processes, SIAM J. on Control and Optimization, 31, pp. 147-158, 1993.
  32. (with R. Karandikar) White noise theory of robust nonlinear filtering with correlated state and observation noises, Proceedings of the 31st IEEE Conference on Decision and Control, Tucson, Arizona, 1992 (to appear).
  33. (with R. Luesink) The likelihood ratio for two dimensional stochastic processes, Proceedings of the 1st European Control Conference, Grenoble, France, 1991.
  34. (with R. Luesink) Krein factorization of covariance operators of 2-parameter random fields and application to the likelihood ratio, IEEE Transactions on Information Theory, IT-37, pp. 53-59, 1991.
  35. (with P. ten Brummelhuis) Simultaneous ML estimation of state and parameters for hyperbolic systems with noisy boundary conditions, Proceedings of the 29th IEEE Conference on Decision and Control, Hawaii, U.S.A., 1990.
  36. Boundary value processes: estimation and identification, Computers and Mathematics with Applications (special issue on Optimization of Stochastic Systems with Applications in Computer Science), 19, pp. 9-19, 1990.
  37. (with M. Vajta) On-line parameter identification of the Rhine river calamity model, Proceedings of the 5th IFAC Symposium on Control of Distributed Parameter Systems, Perpignan, France, 1989.
  38. (with T. Basar) An extension of Radner’s theorem to continuous time systems, Proceedings of the 18th IEEE Conference on Decision and Control, Vol. 2, pp. 667-671, 1979.
  39. (with M. Merbis and B. de Boer) Parameter estimation in a model for the oxygen content of surfacewater in a river, Proceedings of the 5th IFAC Conference on Identification and System Paramter Estimation, R. Isermann (ed.), pp. 795-800, Pergamon Press, Oxford, 1979.
  40. (with G.J. Olsder) A stochastic differential game as a control problem with infinite dimensional state space, Proceedings of the 2nd IFAC Symposium on Control of Distributed Parameter Systems, J. Banks and A. Pritchard (eds.), pp. 337-346, Pergamon Press, Oxford, 1978.

Non Technical

  1. Stochastic Systems Theory (in Dutch), Oration at the University of Twente on the occasion of accepting the Chair in Stochastic Systems and Control Theory, 1987.
  2. Education and technology absorption in India, Journal of Indian Education, May, 1981.

Books

  1. Optimal Control of Stochastic Systems, Prentice Hall International, London, 1993.
  2. Editor (with H.Th. Jongen), Systems and Optimization, Lecture Notes in Control and Information Sciences, Vol. 66, Springer-Verlag, Berlin, 1985.
  3. Stackelberg Differential Games in Economic Models, Lecture Notes in Control and Information Sciences, Vol. 64, Springer-Verlag, Berlin, 1984.