Prakash Chakraborty

Research

Publications and Preprints

  1. Pathwise Relaxed Optimal Control of Rough Differential Equations, (with Harsha Honnappa and Samy Tindel), arXiv.

  2. Optimal Entry and Exit with Signature in Statistical Arbitrage, (with Kiseop Lee and Boming Ning), arXiv.

  3. Mean field control and finite agent approximation for regime-switching jump diffusions, (with Erhan Bayraktar), Applied Mathematics & Optimization (2023) 88 (2), 36, Journal, arXiv.

  4. Optimal Dividends under Model Uncertainty, (with Asaf Cohen and Virginia R. Young), SIAM Journal on Financial Mathematics (2023) 14 (2), 497-524, Journal, arXiv.

  5. Bond Prices Under Information Asymmetry and a Short Rate with Instantaneous Feedback, (with Kiseop Lee), Methodology and Computing in Applied Probability (2022) 24 (2), 613-634, Journal.

  6. Strong Embeddings for Transitory Queueing Model, (with Harsha Honnappa), Mathematics of Operations Research (2022) 47 (2), 1048-1081, arXiv.

  7. A Many-Server Functional Strong Law For A Non-Stationary Loss Model, (with Harsha Honnappa), Operations Research Letters (2021), Journal, arXiv.

  8. Relativistic Stable Processes in Quasi-ballistic Heat conduction in thin film Semiconductors, (with Ali Shakouri, Samy Tindel and Bjorn Vermeersch), Physical Review E (2020), Journal, arXiv.

  9. Quenched asymptotics for a 1-d stochastic heat equation driven by a rough spatial noise, (with Xia Chen, Bo Gao and Samy Tindel), Stochastic Processes and their Applications (2020) 130 (11), 6689-6732, Journal, arXiv.

  10. Contributions to Rough Paths and Stochastic PDEs (2020), Purdue University Graduate School, Link.

  11. Tiered Spectrum Measurement Markets for joint Licensed and Unlicensed Secondary Access, (with Arnob Ghosh and Vaneet Aggarwal), IEEE Transactions on Network Science and Engineering (2019), Journal.

  12. Rough Differential Equations with Power Type Nonlinearities, (with Samy Tindel), Stochastic Processes and their Applications 129.5 (2019): 1533-1555. Journal, arXiv.

  13. Population variation in total genetic risk of Hirschsprung disease from common RET, SEMA3 and NRG1 susceptibility polymorphisms, (with Ashish Kapoor, Qian Jiang, Sumantra Chatterjee, Maria X. Sosa, Courtney Berrios, Aravinda Chakravarti), Human molecular genetics 24.10 (2015): 2997-3003. Journal.