| Publication | Date of Publication | Type |
|---|
| Ruin probabilities with investments in random environment: smoothness | 2023-11-18 | Paper |
| Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments | 2023-10-12 | Paper |
| On ruin probabilities with investments in a risky asset with a regime-switching price | 2022-09-26 | Paper |
| Ruin probabilities with investments: smoothness, inegro-differential and ordinary differential equations, asymptotic behavior | 2022-07-08 | Paper |
| Ruin probabilities for a Sparre Andersen model with investments | 2022-01-17 | Paper |
| On ruin probabilities with risky investments in a stock with stochastic volatility | 2021-12-18 | Paper |
| On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs | 2021-04-29 | Paper |
| On Sets of Laws of Continuous Martingales | 2021-02-09 | Paper |
| Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process | 2019-12-27 | Paper |
| Clearing in Financial Networks | 2019-11-12 | Paper |
| Viscosity Solutions of Integro-Differential Equations for Nonruin Probabilities | 2016-12-07 | Paper |
| No arbitrage of the first kind and local martingale numéraires | 2016-10-27 | Paper |
| Consumption-investment problem with transaction costs for Lévy-driven price processes | 2016-09-07 | Paper |
| In the insurance business risky investments are dangerous: the case of negative risk sums | 2016-05-23 | Paper |
| On Supremal and Maximal Sets with Respect to Random Partial Orders | 2016-05-13 | Paper |
| The ruin problem for L\'evy-driven linear stochastic equations with applications to actuarial models with negative risk sums | 2016-04-21 | Paper |
| No arbitrage and local martingale deflators | 2015-01-18 | Paper |
| Essential supremum with respect to a random partial order | 2014-01-16 | Paper |
| Essential supremum and essential maximum with respect to random preference relations | 2014-01-16 | Paper |
| Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs | 2012-11-15 | Paper |
| Small transaction costs, absence of arbitrage and consistent price systems | 2012-11-15 | Paper |
| Mean square error for the Leland-Lott hedging strategy: convex pay-offs | 2011-11-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3656122 | 2010-01-13 | Paper |
| In discrete time a local martingale is a martingale under an equivalent probability measure | 2009-02-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3526647 | 2008-09-25 | Paper |
| Markets with transaction costs. Mathematical theory. | 2008-06-24 | Paper |
| No-arbitrage criteria for financial markets with transaction costs and incomplete information | 2007-12-16 | Paper |
| A positive interest rate model with sticky barrier | 2007-10-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5294264 | 2007-07-24 | Paper |
| A Consumption–Investment Problem with Production Possibilities | 2006-10-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5493553 | 2006-10-23 | Paper |
| On the closedness of sums of convex cones in \(L^0\) and the robust no-arbitrage property | 2005-05-20 | Paper |
| On the law of one price | 2005-05-20 | Paper |
| Séminaire de Probabilités XXXVIII | 2005-03-30 | Paper |
| On a Stochastic Optimality of the Feedback Control in the LQG-Problem | 2004-12-16 | Paper |
| A geometric approach to portfolio optimization in models with transaction costs | 2004-11-24 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4451259 | 2004-02-23 | Paper |
| Non-arbitrage criteria for financial markets with efficient friction | 2003-10-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4802413 | 2003-04-27 | Paper |
| Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model | 2003-04-06 | Paper |
| Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model | 2003-04-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4791447 | 2003-02-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4788298 | 2003-01-21 | Paper |
| In the insurance business risky investments are dangerous | 2002-12-01 | Paper |
| On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper | 2002-10-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2771099 | 2002-09-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4550915 | 2002-09-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2725602 | 2002-03-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2725601 | 2002-02-24 | Paper |
| The Harrison-Pliska arbitrage pricing theorem under transaction costs | 2001-07-29 | Paper |
| Louis Bachelier on the Centenary of Theorie de la Speculation | 2001-03-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4251566 | 2000-08-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4251567 | 1999-11-29 | Paper |
| Hedging and liquidation under transaction costs in currency markets | 1999-09-14 | Paper |
| On Leland's strategy of option pricing with transactions costs | 1999-05-05 | Paper |
| On control of two-scale stochastic systems with linear dynamics in the fast variables | 1998-11-15 | Paper |
| Asymptotic arbitrage in large financial markets | 1998-08-19 | Paper |
| On Convergence of Attainability Sets for Controlled Two-Scale Stochastic Linear Systems | 1998-06-07 | Paper |
| Towards a general theory of bond markets | 1998-06-04 | Paper |
| Optional decomposition and Lagrange multipliers | 1998-03-17 | Paper |
| Bond Market Structure in the Presence of Marked Point Processes | 1998-01-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4338412 | 1997-11-02 | Paper |
| A first order approximation forthe convergence of distributionsof the cox processes with | 1996-12-12 | Paper |
| Large deviations for solutions of singularly perturbed stochastic differential equations | 1996-09-03 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4845592 | 1996-02-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4845603 | 1996-02-20 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4845604 | 1996-02-20 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4845597 | 1995-10-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4845598 | 1995-10-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4693275 | 1994-01-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4695458 | 1993-06-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4014975 | 1992-10-27 | Paper |
| SINGULAR PERTURBATIONS OF STOCHASTIC DIFFERENTIAL EQUATIONS | 1992-09-26 | Paper |
| Sets of accessibility for controlled stochastic differential equations | 1992-09-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3975859 | 1992-06-26 | Paper |
| Optimal control of singularly perturbed stochastic linear systems | 1992-06-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3362330 | 1992-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5202880 | 1991-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3201185 | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3203788 | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3772996 | 1988-01-01 | Paper |
| On the variation distance for probability measures defined on a filtered space | 1986-01-01 | Paper |
| An Estimate of Closeness in Variation of Probability Measures | 1986-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3685761 | 1985-01-01 | Paper |
| Weak and Strong Convergence of the Distributions of Counting Processes | 1984-01-01 | Paper |
| ON THE EXISTENCE OF A SOLUTION IN A PROBLEM OF CONTROLLING A COUNTING PROCESS | 1984-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3711398 | 1984-01-01 | Paper |
| On convergence in variation of the distributions of multivariate point processes | 1983-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3664151 | 1983-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4741478 | 1982-01-01 | Paper |
| ON THE REPRESENTATION OF INTEGRAL-VALUED RANDOM MEASURES AND LOCAL MARTINGALES BY MEANS OF RANDOM MEASURES WITH DETERMINISTIC COMPENSATORS | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3862804 | 1980-01-01 | Paper |
| Some limit theorems for simple point processes (a martingale approach) | 1980-01-01 | Paper |
| ABSOLUTE CONTINUITY AND SINGULARITY OF LOCALLY ABSOLUTELY CONTINUOUS PROBABILITY DISTRIBUTIONS. II | 1980-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3895190 | 1980-01-01 | Paper |
| A PROBABILISTIC MODIFICATION OF THE von NEUMANN-GALE MODEL | 1980-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3963786 | 1980-01-01 | Paper |
| ABSOLUTE CONTINUITY AND SINGULARITY OF LOCALLY ABSOLUTELY CONTINUOUS PROBABILITY DISTRIBUTIONS. I | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3862792 | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3904334 | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3940570 | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3942718 | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3206067 | 1978-01-01 | Paper |
| The Capacity of a Channel of the Poisson Type | 1978-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4160830 | 1978-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4187080 | 1978-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4155560 | 1977-01-01 | Paper |
| ON THE QUESTION OF ABSOLUTE CONTINUITY AND SINGULARITY OF PROBABILITY MEASURES | 1977-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4191364 | 1977-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4119901 | 1976-01-01 | Paper |
| On Extended Stochastic Intervals | 1975-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4066318 | 1974-01-01 | Paper |
| Integral Representations of Functionals of Processes with Independent Increments | 1974-01-01 | Paper |
| Representation of Functionals of Wiener and Poisson Processes in the Form of Stochastic Integrals | 1973-01-01 | Paper |
| Ruin problems with investments on a finite interval: PIDEs and their viscosity solutions | 0001-01-03 | Paper |
