• K. Suresh Kumar Publications Contact

    I am K. Suresh Kumar and I teach math at IIT Bombay.

    Career

    Area of Interest

    Controlled Diffusions and Mathematical Finance.

    Education

    Publications

    1. Gauttam, Sunil Kumar, Suresh Kumar, K and Pal, Chandan, Risk-sensitive control of reflected diffusion processes on orthrant, Pure Appl. Funct. Anal. 2 (2017), no. 3, pp. 477-510.
    2. Arapostathis, Ari, Borkar, V. S. And Suresh Kumar , K., Risk-sensitive control and abstract Collatz-Weilandt formula, J. Theoret. Probability 29 (2016), no.4, pp. 1458-1484.
    3. Mrinal K. Ghosh, Suresh Kumar, K. And Pal, Chandan Zero-sum risk-sensitive stochastic games for continuous time Markov chains, Stochastic Analysis and Applications 34 (2016), no.5, pp.835-851.
    4. Rajeev, B. and Suresh Kumar , K., A class of stochastic differential equations with pathwise unique solutions, Indian Journal of Pure and Applied Mathematics 47 (2016), no.2 , pp. 343-355.
    5. Suresh Kumar, K. and Pal, Chandan, Risk-sensitive ergodic control of continuous time Markov processes with denumerable state space, Stochastic Analysis and Applications, 33 (2015), 863-881.
    6. Borkar, V.S. and Suresh Kumar, K., Coordination in networked control processes through gossip-like local interactions, Modern trends in controlled stochastic processes: Theory and Applications, Vol II, Editor A, B. Piunovskiy, 2013, pp. 246-255.
    7. Aihara, Shin Ichi, Bagchi, A. and Suresh Kumar, K., On mean-variance hedging of bond options with stochastic risk-Premium factor, Appl. Math. Optim. 70(2014), 511-537.
    8. Arapostathis, A., Borkar, V. S. and Suresh Kumar, K., Convergence of the relative value iteration for the ergodic control problem of nondegenerate diffusions under near-monotone cost, SIAM J. Control Optim. 52 (2014), no.1, 1-31.
    9. Borkar, V.S. and Suresh Kumar, K., Small noise large asymptotics of the normalized Feynman-Kac semigroup, Contemporary Mathematics, AMS, 2014, no. 619, 31-48.
    10. Suresh Kumar, K. and Pal, Chandan, Risk-sensitive control of pure Jump process on countable state space with near monotone cost, Appl. Math. Optim. 68 (2013), 311-331.
    11. Suresh Kumar, K., A class of degenerate stochastic differential Equations with non-Lipschitz coefficients, Proceedings of Indian Academy of Sciences, 123(2), pp.443-454, 2013.
    12. Arapostathis, A., Borkar, V.S. and Suresh Kumar, K, Relative value iteration for stochastic differential games, Advances in Dynamic Games, Annals of ISDG 13, 2013, 3-27.
    13. Suresh Kumar, K., Singular perturbations in stochastic ergodic control problems, SIAM J. Control Optim. 50 (2012), no.6, 3203-3223.
    14. Suresh Kumar, K. And Chandan Pal, Credit portfolio optimization with Replacement in defaultable asset, in the special issue on Mathematical Finance, Current Science, 103(2012), no.6, 650-656.
    15. Borkar, V. S. And Suresh Kumar, K., McKean-Vlasov limit in portfolio optimization. Stoch. Anal. Appl. 28(2010), no.5 884-906.
    16. Borkar, V.S. and Suresh Kumar, K., A new Markov selection procedure for degenerate diffusions. J. Theoret. Probab. 23(2010), no.3, 729-747.
    17. Biswas A., Borkar, V. S. and Suresh Kumar, K. Risk-sensitive control with near monotone cost. Appl. Math. Optim. 62 (2010), no.2, 145-163.
    18. Borkar, V S and Suresh Kumar, K. Singular perturbations in risk-sensitive stochastic control. SIAM J. Control Optim. 48(2010), no.6, 3675-3697.
    19. Bagchi, A and Suresh Kumar, K., Dynamic asset management with risk-sensitive criterion and non-negative factor constraints: a differential game approach, Stochastics 81(2009), no.5, 503-530.
    20. Ghosh, M. K., Goswami, A. And Suresh Kumar, K., Portfolio optimization in a semi-Markov modulated market, Appl. Math. Optim. 60(2009), no.2, 275-296.
    21. Goel, M. And Suresh Kumar, K., Risk-sensitive portfolio optimization problems with fixed income securities, J. Optim. Theory Appl. 142(2009), no.1, 67-84.
    22. Suresh Kumar, K., Nonzero sum stochastic differential games with discounted payoff criterion: an approximating Markov chain approach, SIAM J. Control Optim. 47(2008), no.1, 374-395.
    23. Goel , M. And Suresh Kumar, K., A risk-sensitive portfolio optimization problem with general nonnegative factor models, Differential Equations Dynam. Systems 15(2007), no. 1-2, pp. 1-26.
    24. Ghosh, M.K., Suresh Kumar, K., Nandakumaran, A.K. and Mallikarjuna Rao, K.S., Differential games of fixed duration in the framework of relaxed strategies, Differential Equations Dynam. Systems 13(2005), no.3-4, 251-273.
    25. Ghosh, M.K. and Suresh Kumar, K., A nonzero-sum stochastic differential game in the orthant. J. Math. Anal. Appl. 305( 2005), no.1, 158-174.
    26. Ghosh, M.K. and Suresh Kumar, K., A stochastic differential game in the orthrant. J. Math. Anal. Appl. 265(2002), no.1,12-37.
    27. Bagchi, A. and Suresh Kumar, K., Dynamic asset management: risk- sensitive criterion with nonnegative factors constraints, Recent developments in mathematical finance (Shanghai, 2001), 1-11, World Sci. Publ., River Edge, NJ, 2002.
    28. Ghosh, M.K., Suresh Kumar, K., Nandakumaran, A.K. and Mallikarjuna Rao, K.S., A note on stochastic minimax principle, Differential Equations Dynam. Systems 9(2001), no.1-2, 105-112.
    29. A. Bagchi and K. Suresh Kumar, An infinite factor model for the term structure, Mathematical Finance, Series: Treads in Mathematics, Birkhauser, Eds. M. Kohlmann and S. Tang, 2001, 59-68.
    30. Suresh Kumar, K., Numerical analysis of a zero-sum stochastic differential game in a bounded domain. Comput. Appl. Math. 19(2000), no.2, 239-265.
    31. Ghosh, M.K. and Suresh Kumar, K., Nonzero-sum stochastic differential games with reflecting diffusions, Comput. Appl. Math. 18(1999), no.3, 355-368, 371-372.
    32. Ghosh, M.K. and Suresh Kumar, K., Zero-sum stochastic differential games with reflecting diffusions. Mat. Apl. Comput. 16(1997), no.3, 237-246.

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    Department of Mathematics,
    Indian Institute of Technology Bombay
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