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Selected Publications:
M o no g raphs : Sequential Control with Incomplete Information: The Bayesian Approach to Many-Armed Bandit P roblems, Academic P ress, 1990, 266 p., English translation of: Moscow, Nauka, 1982, 256 p., (jointly with I.M.Sonin) Lis t o f main pape rs : A. Boundary P roblems and Queueing Theory 1. The time of being of one system in disrepair. P roc. of the Steklov Inst. of Math. 71 (1964), pp.78-81, (in Russian) 2. On waiting time for many-served queuing system. Theory of P robability and its Applications, 10.1 (1965), pp. 70-81 3.. Duration of stay of one system in breakdown state. "Twenty- Two Papers on Statistics and

Probabilit y", in: "Selected Translat io ns in Mathematica l Statistics and Probabilit y", v.6, 1966, American Mathematica l Society, ISSN: 0065 - 9274, reprinted 1970, ISBN: 0- 8218- 1456- 7.
4. A boundary problem for sums of lattice random variables defined on a regular Mark ov chain. Theory of P robability and its Applications, 12.2 (1967), pp. 373-380 5. The factorization methods and boundary problem for the sums of random variables defined on a regular Markov chain. Trans. of the USSR Acad. of Sci.. Math. series., 33.4 (1969), pp. 861-900 B. Limit Theorems of the Theory of P robability 1. A multidimensio nal version of the Kolmogoroff uniform limit theorem. Theory of P robability and its Applications, 18.2 (1973), pp. 396-402 2. On the rate of approach of the distributions of sums independent random variables to accompanying distributions. Theory of P robability and its Applications, 18.4 (1973), pp. 753-766, (jointly with I.A.Ibragimov) 3. Two inequalities for symmetric processes and symmetric distributions. Theory of P robab ility and its Applications, 26.4 (1981), pp. 827-831 4. On the approximation of binomial distributions by means of infinitely divisible one. Theory of P robability and its Applications, 28.2 (1983), pp. 372-382 5. On the variation distance between the distribution of a sum of independent Bernoulli variables and the P oisson law. Theory of P robability and its Applications, 30.2 (1985), pp. 391-396 6. Approximations of binomial distributions in sense of the distance in variation. In: T.V.Arak, A.Yu.Zaitsev, Uniform Limit Theorems for Sums of Independent Random Variables. P roc. of the Steklov Inst. of Math. 174 (1986), p. 77-91 7. Lower estimations. In: T.V.Arak, A.Yu.Zaitsev, Uniform Limit Theorems for Sums of Independent Random Variables. P roc. of the Ste klov Inst. of Math. 174 (1986), p. 183-203 8. On the low of large numbers for nonlinear functions of many random variables. Theory of P robability and its Applications, 41.3 (1996), pp. 665-672, (jointly with V.I.Rotar) 9. Estimation of the Constant in a Burkholder Inequality for Supermartingales and Martingal , v. 53, n. 1, 2009, pp. 173-180 10. On the Kolmogorov­ P rokhorov Theorem on the Existence of Expectations of Random Sums, ISSN 1064­ 5624, Doklady Mathematics, 2009, Vol. 79, No. 2, pp. 293­ 295. © P le iades P ublishing, Ltd., 2009, (jointly with Sh.K. Formanov). C. Optimal control of stochastic processes a) Optimal choice and optimal stopping 1. The best choice problem for a random number of objects. Theory of P robability and its Applications, 17.4 (1972), pp. 695-706, (jointly with I.M.Sonin)


2. Equilibr ium point in a game related to the best choice problem. Theory of P robability and its Applications, 20.4 (1975), pp. 785-796, (jointly with I.M.Sonin) 3. Optimal choice under conditions of incomplete information. Economics and Mathematical Methods, 11.3 (1975), pp. 439-452, (jointly with I.M.Arkin and I.M.Sonin) 4. The game problems of optimal stopping. Existence and uniqueness of equilibriu m points. In: P robabilistic Control P roblems in Economics, Mos cow, Nauka, 1977, pp. 115-144, (jointly with I.M.Sonin), (in Russian) 5. The choice of decision time in game situation. In: P robabilistic Control P roblems in Economics, Moscow, Nauka, 1977, pp. 145-166, (jointly with I.M.Sonin), (in Russian) 6. The Existence and Uniqueness of Nash Equilibrium P oint in an $m$-player Game "Shoot later, shoot first!'' (jointly with I.M.Sonin), International Journal of Game Theory , v.34, i.3, 2006, p. 185 -205. 7. On Optimal Stopping of Random Sequences Modulated by Markov Chain (jointly with I.M.Sonin), Theory of P robability and its Applications, v. 54, n. 3, 2010, pp. 534-542. 8. New approach to the solution of the optimal stopping problem in a discrete time, Stochastics, special issue dedicated to Optimal Stopping and A pplications, 2011 (in print) 9. Solution of optimal stopping problem based on a modification of payoff function, Musela Festshrift, Springer Ferlag, 2011 (in print) 10. Solution of the optimal stopping problem of one -dimensional diffusion based on a modific ation of payoff function, P rokhorov Festshrift, Springer Ferlag, 2011 (in print) b) Multi-armed bandit problems 11. "Two-armed bandit" problems in continuous time. In: Stochastic P rocesses and Control, Moscow, Nauka, 1978, pp. 154-204, (jointly with I.M.Sonin), (in Russian) 12. "Two and many-armed bandit" problems with infinite horizon. In: Lectures Notes in Mathematics, 1021 (1983), P roceedings of the Fourth USSR -Japan Symposium on P robability and Mathematical Statistics, pp. 526-540, (jointly with I.M.Sonin) 13. P oisson version of "two-armed bandit" problem with discounting. Theory of P robability and its Applications, 35.2 (1990), pp. 318-328 14. P roperties of optimal strategies in P oisson version of "two-armed bandit" problem with two hypotheses. Contemporary mathematics. The P roceedings of the Joint AMS-IMS-SIAM Summer Research Conference 1990 on Strategies for Sequential Search and Selection in Real Time, Volume 125 (1992), pp. 97-104 c) Linear regulator problem 15. Optimality in P robability and Almost Surely. The General Scheme and a Linear Regulator P roblem. Stochastics and Stochastics Report, Vol. 43 (1993), pp. 127-137, (jointly with V.Rotar, M.Taksar) 16. Controls asymptotically optimal in distribution for a linear stochastic system with a quadratic functional, Automatika i Telemekhanika, n.3 (1997), pp. 106-115, (jointly with T.Belkina) 17. Optimality almost sure and in probability for a stochastic linear -quadratic regulator. Theory of P robability and its Applications, 42.3 (1997), pp. 627-632 18. On the law of iterated logarithm in one problem of control. Theory of P robability and its Applications, 43.2 (1998), pp. 364-369, (jointly with S.V.Nagaev) 19. On a stochastic optimality of the feedback control in the LQG-problem. P reprint N 2000/34, UNIVERSITE DE FRANCHE COMTE, 2000, (jointly with Yu.M.Kabanov and T.A.Belkina) 20. On a stochastic optimality of the feedback control in the LQG-problem. Theory of P robability and its Applications, 48.4 (2003), pp. 661-675., (jointly with Yu.M.Kabanov and T.A.Belkina) d) Some other problems of stochastic optimal control 21. A Gittins Type Index Theorem for Randomly Evolving Graphs (jointly with I.M.Sonin). In: From Stochastic Calculus to Mathematical Finance. The Shiryaev Festschrift, Shpringer -Verlag, 2005, p. 567-588 22. P resman, E. and Sethi, S.P ., Stochastic Inventory Models with Continuous and P oisson Demands and Discounted and Average Costs. P roduction and Operations Management, v.15, i. 1, 2006 23. P resman, E. and Sethi, S.P ., One Approach to Investigation of Stochastic Inventory Models, P roceedings of the Russian Economics Congress, (ISBN 987-59940-0219-3), Institute of Economics of RAS, Moscow, 2009


D) Some economic applications a) Optimal investment 1. A stochastic model of optimal investment in a new technology in the presence of competition. In: Mathematical modeling of control processes under uncertainty, Moscow, CEMI, 1987, pp. 89-100, (jointly with R.Ericson), (in Russian) 2. Risk aversion behavior in consumption/investment problems. Mat hematical Finance, 1 (1991), Erratum, 1 (3), 1991, p. 86, (jointly with S.Sethi). (Reproduced in: S.Sethi "Optimal consumption and investment with bankruptcy", pp. 85-116, Kluwer Academic publisher, Boston/Dordrecht/London, 1997) 3. Explicit solution of a general consumption/portfolio problem with subsistence consumption and bankruptcy. Journal of Economic Dynamics and Control, 16 (1992), pp. 747-768, Erratum, 19 (1995), pp. 1297-1298, (jointly with S.Sethi, M.Taksar). (Reproduced in: S.Sethi "Optimal cons umption and investment with bankruptcy", pp. 119-143, Kluwer Academic publisher, Boston/Dordrecht/London, 1997) 4. Distribution of bankruptcy time in a consumption/portfolio problem. Journal of Economic Dynamics and Control, 20 (1996), pp. 471-477, (jointly with S.Sethi). (Reproduced in: S.Sethi "Optimal consumption and investment with bankruptcy", pp. 145-154, Kluwer Academic publisher, Boston/Dordrecht/London, 1997) 5. Risk-Aversion Behavior in Consumption/Investment P roblems with Subsistence Consumption and Bankruptcy (jointly with S.Sethi), In: S.Sethi "Optimal consumption and investment with bankruptcy", pp. 155-184, Kluwer Academic publisher, Boston/Dordrecht/London, 1997 6. Consumption Behavior in Investment/Consumptio P roblems (jointly with S.Sethi), In: S.Sethi "Optimal consumption and investment with bankruptcy", pp. 185-205, Kluwer Academic publisher, Boston/Dordrecht/ London, 1997 7. Equivalence of Objective Functionals in Infinite Horizon and Random Finite Horizon P roblems (jointly with S.Sethi), In: S.Sethi "Optimal consumption and investment with bankruptcy", pp. 207-214, Kluwer Academic publisher, Boston/Dordrecht/London, 1997 b) Stochastic manufacturing systems 8. Optimal Feedback P roduction P lanning in a Stochastic N -Machine Flowshop (jointly with S.Sethi, Q.Zhang), In: P roceedings of the 12th IFAC World Congress, Sidney, Australia, July 1993, Elsevier Science Limited, U.K 9. Optimal Feedback P roduction P lanning in a Stochastic N -Machine Flowshop, Automatika, Vol. 31, No. 9 (1995), pp. 1325-1332, (jointly with S.Sethi, Q.Zhang) 10. Existence of Optimal Feedback P roduction P lans in Stochastic Flowshops with Limited Buffers, "Automatika", Vol. 32, No. 10, pp. 1899-1903, 1997, (jointly with S.Sethi, W.Suo) 11. Optimal Feedback Controls in Dynamic Stochastic Jobshops, P roceedings of 1996 AMS-SIAM Summer Seminar: Mathematics of Stochastic Manufacturing Systems. ``Lectures in Applied Mathematics", Vol. 33, pp. 235-252, 1997, (jointly with S.Sethi, W.Suo) 12. Optimal P roduction P lanning in a Stochastic N- Machine Flowshop with Long-Run Average cost. In: P roc of the 2nd International Conference on the Applications of Mathematics to Science and Engineering (CIAMASI'98), Oct. 27-29, 1998, Casablanca, Morocco, pp. 704-711, (jointly with S.Sethi, H.Zhang, Q.Zhang 13. Optimality of Zero-Inventory P olicies for an Unreliable Manufacturing System P roducing Two P art Types. "Dynamics of Continuous and Discret Impulsive Systems", Vol 4, No. 4, pp. 485 -496, 1998, (jointly with S.Sethi, H.Zhang, Q.Zhang) 14. Optimal P roduction P lanning in a Stochastic $N$-Machine Flowshop with Long-Run Average Cost, {\it The P roceedings of the Indian National Science Academy}, December Issue, 1999, pp. 121 -140 (jointly with S.Sethi, H.Zhang, Q. Zhang) 15. Average Cost Optimal P olicy for an Unreliable Two-Machine Flowshop with Limited Internal Buffer. Annals of Operation Research, 98 (2000), pp. 333-351, (jointly with S.Sethi, H.Zhang , A.Bisi) 16. Optimal P roduction P lanning in General Stochastic Jobshops with Long-Run Average Cost (jointly with S.Sethi, H.Zhang), In: E.J.Dockner, R.F.Hartl, M.Lupta ik, and G.Sorger (Eds.), Optimization, Dynamics, and Economic Analysis, Essays in Honor of Gustav Feichtinger, P hysica -Verlag, Heidelberg, New York, 2000, 259-274


17. Average Cost Optimal P olicy for a Stochastic Two-Machine Flowshop with Limited Work-inP rocess, Nonlinear Analysis, 47, 2001, pp. 5671-5678, (jointly with S.Sethi, H.Zhang, A.Bisi) 18. On Optimality of Stochastic $N$-Machine Flowshop with Long-Run Average Cost (jointly with S.Sethi, H.Zhang, Q. Zhang). Stochastic Theory and Control, P roceedings of a Workshop held in Lawrence, Kansas, October 18-20, 2001, Lecture Notes in Control and Information Sciences, Vol. 280, B. P asikDuncan (Ed.), Springer-Verlag, New York, 2002. 19. Optimal P roduction Control of a Failure-P rone Machine (jointly with S.Sethi, E.Khmelnitski), Annals of Operations Research, Special issue on Manufacturing Systems, v. 173, 2009
E. Stochastic models of economic dynamics 1. P robabilistic models of economic dynamics with controlled s cientific-technological progress. In: Modeling of Scientific P rogress and the Control of Economic P rocesses under Conditions of Incomplete Information, Moscow, CEMI, 1976, (jointly with V.I.Arkin and I.M.Sonin), (in Russian) 2. On an approach to growth ra te notion in stochastic von Neumann-Gale models. In: Models and methods of stochastic optimization , Moscow, CEMI, 1983, (jointly with A.D.Slastnikov), (in Russian) 3. On asymptotic behavior of paths in stochastic von Neumann-Gale model. In: Researches on P robabilistic P roblems of Control of Economic P rocesses, Moscow, CEMI, 1985, (jointly with A.D.Slastnikov), (in Russian) 4. Growth rates and optimal paths in stochastic models of expanding economy. Stochastic optimization , P roc. of Intern. Conference, Kie v/USSR, 1984, Lect. Notes Control Inf. Sci, 1986, (jointly with A.D.Slastnikov) 5. An equilibrium in stochastic von Neumann-Gale models. In: Mathematical modeling of control processes under uncertainty, Moscow, CEMI, 1987, (jointly with A.D.Slastnikov), ( in Russian) 6. Growth rate, internal rates of return, and financial bubbles (jointly with I.M.Sonin), P reprint N WP /2000/103 CEMI RAS, 2000

PRESENTATIONS AT INTERNATIONAL CONFERENCES:
The Fifth Bachelier Colloquium (January 24-31, 2011, Metabief-France). Solution of the optimal stopping problem of one -dimensional diffusion based on a modific ation of payoff function. «Stochastic Optimal Stopping» ( SOS2010, . , 12-16 2010 .). Method of the solution of the optimal stopping problem based on the modification of the reward function. The Fourth Bachelier Colloquium (January 24-31, 2010, Metabief-France). About new approach to the solution of the optimal stopping problem. Optimal Stopping with Applications Symposium, Turku, 23-26 June 2009, Abo Akdimi University, Finland. Modification of Sonin's algorithm for optimal stopping of Markov chain. Fourth international conference on control problems (January 26---30, 2009). --- M.: Institute of Control Sciences, On Sonin's algorithm for solution of the optimal stopping problem. Seventh International P etrozavodsk Conference "P robabilistics Methods in discrete Mathematics'', P etrozavodsk, June 01-06, 2008. Fifth International Conference of Applied Mathematics and Computing, P lovdiv, August 12-18, 2008, Technical University of P lovdiv, On Sonin's algorit hm in the problem of optimal stopping 14-th INFORMS Applied P robability Conference, July 9-11 2007. Eindhoven University of Technology,

Optimal Stopping of "Seasonal" O bservations

Randomly Evolving Graphs and Gittins Type Index Theorem (jointly with I.M.Sonin), In: The Book of Ester Samuel-Cahn: from Empirical Bayes to P rophet Inequalities, a conference in honor of P rofessor Ester Samuel-Cahn, P rogram and Abstracts, The Hebrew University of Jerus alem, 2006, p. 14. International Conference "Limit theorems of the theory of probability and its applicatios ", August 21-25, 2006., S. Sobolev Inststute of Mathematics, Novosibirsk, Estimation of the Constant in a Burkholder Inequality for Supermartingales and Martingals.


International Conference on Management Sciences: Optimization Models & Applications, May 20 -22, 2006, University of Texas at Dallas, Dallas, USA , Optimal P roduction Control of a Failure -P rone Machine (jointly with S.Sethi, E.Khmelnitski), International Workshop Optimal Stopping and Stochastic Control, P etrozavodsk, Russia, August 22-26 2005, Gittins Type Index for Randomly Evolving Graphs (jointly with I.M.Sonin). Second Bachelier Colloquium on Stochastic Calculus and P robability, Metabief, France, January 2005, A Gittins Type Index Theorem for Randomly Evolving Graphs, (jointly with I.M.Sonin). Second World Congress of the Game Theory Society, Marseille, France, July 2004, The classes of an $m$ player Game ``Shoot later, shoot first with an explicit and unique Nash Equilibrium P oint, (jointly with I.M.Sonin). International conference "Kolmogorov and contemporary mathematics", Moscow, June 2003, A simple proof of an (Gittins) index theorem for graphs (jointly with I .M.Sonin). International Workshop "Optimal Stopping and Stochastic Games", 1-7 July 2002, Bedlewo, P oland. The Existence and Uniqueness of Nash Equilibrium P oint in an $m$-player Game "Shoot later, shoot first" (jointly with I.M.Sonin). First World Congress of the Game Theory Society (GAMES 2000), Bilbao, Spain, 24-28 July, 2000. Equilibrium P oints in an k P layer Game of "Black Jack" Type. 10th INFORMS Applied P robability Conference, University of Ulm, Germany, July 1999. Average Cost Optimality in a stoc hastic flowshop (jointly with S.Sethi). International Congress of Mathematicians, Berlin, August 18-27, 1998 Optimality for the stochastic linear-quadratic regulator. 22nd European Meeting of Statisticians, 7th Vilnius Conference in P robability Theory and Mathematical statistics, August 12-18, 1998, Vilnius, Lithuania. On the law of iterated logarithm in one problem of control (jointly with S.V.Nagaev). 2nd world Congress of Non-Linear-Analysts - WCNA 96, Aphens, 10-17 July, 1996. Optimal Feedback Strategies in Some P roblems of Stochastic Control. AMS-SIAM Summer Seminar: Mathematics of Stochastic Manufacturing Systems. June 17-22, 1996, Williamsburg, Virginia. Optimal Feedback Controls in Dynamic Stochastic Jobshops (jointly with S.Sethi, W.Suo). International Seminar "Limit theorems and related problems "Omsk, 29.08 - 02.09, 1995. Asymptotical optimality in distribution (joint work with T.Konyuhova). International Conference "Stochastic Models and Optimal Stopping", Nanzan University, Nagoya, December 19-21, 1994, talk: "On sensitive criteria in the stochastic linear regulator problem with the infinite horizon" (joint work with T.Konyuhova). Conference "Applications of Stochastic Analysis", School of Informatics and Sciences, Nagoya University, Nagoya, December 2-4, 1994, a talk: "Some properties of solution of a consumption/portfolio problem with subsistent consumption and bankruptcy" ( joint work with S.Sethi). 12-th World Congress. International Federation of Control, Sydney, Australia, July 18-23, 1993. Optimal Feedback P roduction P lanning in a Stochastic N -Machine Flowshop. The 6-th USSR-Japan Symposium on P robability Theory, Kiev, August 5-10, 1991. Optimality in probability and almost surely for an infinite horizon linear regulator problem (jointly with V.Rotar', M.Taksar). Conference on P reference, Risk, and Social Choice, UC at Irvine, June 25 - July 2, 1991. On a statistical approach to risk under uncertainty. Joint AMS-IMS-SIAM Summer Research Conference on Strategies for Sequential Search and Selection in Real Time, Amherst, June 21-27, 1990, A P oisson version of multi-armed bandit problems. The Fifth International Vilnius Conference on P robability Theory and Mathematical Statistics, Vilnius, June 26 - July 1, 1989. P roperties of optimal s trategies in P oisson version of two-armed bandit problems with discount. The First Finnish-Soviet Symposium on P robability Theory and Mathematical Statistics, Lahti, August 31 - September 5, 1987. On controlled counting processes.


The First World Congress of the Bernoulli Society, Tashkent, September 8 - 14, 1986. Optimal control for partly observed m-variate counting process. The 5-th USSR-Japan Symposium on P robability Theory, Kyoto, July 8 - 14, 1986. Optimal control for partly observed m-variate counting process. The Forth International Vilnius Conference on P robability Theory and Mathematical Statistics, Vilnius, June 1985. A Control of multidimensiona l counting process depending on unknown. International Conference on Stochastic Optimization, Kiev, 1984, The problems of optimal control with incomplete data (jointly with I.M.Sonin), Growth rates and optimal paths in stochastic models of expanding economy (jointly with A.D.Slastnikov). International Congress of Mathematicians, Warsaw 1982, The two-armed bandit problems and a control of point processes The Forth USSR-Japan Symposium on P robability Theory, TbilisiSeptember 1982. Two and many armed bandit problems with infinite horizon (jointly with I.M.Sonin). The Third International Vilnius Conference on P robability Theory and Mathematical Statistics, Vilnius 1981, Many armed bandit problems in discrete and continuous time (jointly with I.M.Sonin), Two inequalities for symmetric processes and symmetric distributions The USSR-P oland Symposium on Mathematic al Methods in P lanning and Control in Economics, Moscow 1979. The asymptotic behavior of value function in a problem of sequential control with incomplete data. The Second International Vilnius Conference on P robability Theory and Mathematical Statistics, Vilnius 1977. Two-armed bandit problems in continuous time (jointly with I.M.Sonin). The Third USSR-Japan Symposium on P robability Theory, Tashkent 1975. The points of equilibriu m in the game problems of optimal stopping (jointly with I.M.Sonin). International Vilnius Conference on P robability Theory Mathematical Statistics, Vilnius 1973, The uniform limit theorem of Kolmogoroff in multidimens iona l case. The First USSR-Japan Symposium on P robability Theory, Khabarovsk 1969. The factorization methods and boundary problem for the sums of random variables defined on a regular Markov chain. International Congress of Mathematicians, Moscow, August 15 - 26, 1966. A boundary problem for sums of random variables defined on finite regular Markov chain.