Person:209159

Available identifiers

zbMath Open ceci.claudiaMaRDI QIDQ209159

List of research outcomes

Publication	Date of Publication	Type
Modelling the industrial production of electric and gas utilities through the \(CIR^3\) model	2024-08-28	Paper
Optimal reinsurance via BSDEs in a partially observable model with jump clusters	2024-04-02	Paper
A stochastic control approach to public debt management	2022-09-23	Paper
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets	2022-07-15	Paper
Indifference pricing of pure endowments via BSDEs under partial information	2020-12-16	Paper
A BSDE-based approach for the optimal reinsurance problem under partial information	2020-11-19	Paper
Optimal reduction of public debt under partial observation of the economic growth	2020-11-11	Paper
Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk	2020-09-28	Paper
Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives	2020-09-09	Paper
Optimal proportional reinsurance and investment for stochastic factor models	2019-06-17	Paper
The Föllmer–Schweizer decomposition under incomplete information	2018-09-04	Paper
Unit-linked life insurance policies: optimal hedging in partially observable market models	2017-09-19	Paper
Local risk-minimization under restricted information on asset prices	2015-11-27	Paper
Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization	2015-03-13	Paper
A benchmark approach to risk-minimization under partial information	2014-09-22	Paper
BSDEs under partial information and financial applications	2014-08-28	Paper
The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness	2014-07-01	Paper
GKW representation theorem under restricted information: An application to risk-minimization	2014-05-16	Paper
Optimal Investment-consumption for Partially Observed Jump-diffusions	2014-02-19	Paper
UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS	2012-11-22	Paper
Nonlinear Filtering for Jump Diffusion Observations	2012-11-02	Paper
Optimal Investment Problems with Marked Point Processes	2012-08-24	Paper
Utility-based hedging and pricing with a nontraded asset for jump processes	2012-05-31	Paper
Utility indifference valuation for jump risky assets	2011-12-13	Paper
Wealth optimization and dual problems for jump stock dynamics with stochastic factor	2011-03-11	Paper
PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH	2009-08-03	Paper
Risk minimizing hedging for a partially observed high frequency data model	2007-03-08	Paper
Modelling a multitype branching Brownian motion: Filtering of a measure-valued process	2006-09-12	Paper
A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH	2006-08-14	Paper
Multitype branching processes observing particles of a given type	2005-10-18	Paper
Optimal design in nonparametric life testing	2005-04-07	Paper
Mixed Optimal Stopping and Stochastic Control Problems with Semicontinuous Final Reward for Diffusion Processes	2004-10-21	Paper
Controlled partially observed jump processes: dynamics dependent on the observed history.	2004-08-26	Paper
Regularity of the value function and viscosity solutions in optimal stopping problems for general Markov processes	2003-03-24	Paper
AN ESTIMATE OF THE APPROXIMATION ERROR IN THE FILTERING OF A DISCRETE JUMP PROCESS	2003-03-16	Paper
Existence of optimal controls for partially observed jump processes	2003-03-11	Paper
Conditional law of a branching process observing a subpopulation	2002-11-05	Paper
Optimal stopping problems with discontinous reward: Regularity of the value function and viscosity solutions	2002-08-08	Paper
An approximation method for controlled discrete jump processes under partial observations	2002-07-21	Paper
An Optimal Stopping Problem Arising from a Decision Model with Many Agents	2002-03-03	Paper
Nonlinear filtering equation of a jump process with counting observations	2002-03-03	Paper
Filtering of a Markov jump process with counting observations	2001-06-13	Paper
Partially observed control of a Markov jump process with counting observations: Equivalence with the separated problems	1999-11-18	Paper
Optimal control and filtering of the reproduction law of a branching process	1999-04-26	Paper
Filtering of a branching process given its split times	1998-04-23	Paper
Some Results about Stopping Timesof the Marked Tree Space	1998-01-29	Paper
https://portal.mardi4nfdi.de/entity/Q4833618	1995-10-15	Paper
https://portal.mardi4nfdi.de/entity/Q4022354	1993-01-17	Paper

Research outcomes over time

This page was built for person: Claudia Ceci