| Publication | Date of Publication | Type |
|---|
| From finite population optimal stopping to mean field optimal stopping | 2024-10-16 | Paper |
| Dynamic contracting in asset management under the investor-partner-manager relationship | 2024-07-29 | Paper |
| Impact of carbon market on production emissions | 2023-12-06 | Paper |
| Optimal make–take fees for market making regulation | 2023-09-27 | Paper |
| On path-dependent multidimensional forward-backward SDEs | 2023-07-26 | Paper |
| Dynamic Programming Equation for the Mean Field Optimal Stopping Problem | 2023-07-13 | Paper |
| Viscosity Solutions for Obstacle Problems on Wasserstein Space | 2023-06-28 | Paper |
| Entropic Optimal Planning for Path-Dependent Mean Field Games | 2023-06-14 | Paper |
| Mean field game of mutual holding with defaultable agents, and systemic risk | 2023-03-14 | Paper |
| From finite population optimal stopping to mean field optimal stopping | 2022-10-28 | Paper |
| Optimal Electricity Demand Response Contracting with Responsiveness Incentives | 2022-09-26 | Paper |
| Nonlinear predictable representation and \({\mathbb{L}^1} \)-solutions of backward SDEs and second-order backward SDEs | 2022-07-15 | Paper |
| Random Horizon Principal-Agent Problems | 2022-03-01 | Paper |
| Controlled Diffusion Mean Field Games with Common Noise and McKean--Vlasov Second Order Backward SDEs | 2022-02-25 | Paper |
| Branching diffusion representation for nonlinear Cauchy problems and Monte Carlo approximation | 2021-11-04 | Paper |
| Mean Field Game of Mutual Holding | 2021-04-08 | Paper |
| Zero-sum path-dependent stochastic differential games in weak formulation | 2021-03-18 | Paper |
| On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals | 2020-11-03 | Paper |
| Second order backward SDE with random terminal time | 2020-09-29 | Paper |
| Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs | 2020-01-22 | Paper |
| Continuous-Time Principal-Agent Problem in Degenerate Systems | 2019-10-23 | Paper |
| Irreducible convex paving for decomposition of multidimensional martingale transport plans | 2019-06-18 | Paper |
| Branching diffusion representation of semilinear PDEs and Monte Carlo approximation | 2019-03-20 | Paper |
| The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach | 2019-02-28 | Paper |
| Path-dependent equations and viscosity solutions in infinite dimension | 2018-04-27 | Paper |
| LIQUIDATION OF AN INDIVISIBLE ASSET WITH INDEPENDENT INVESTMENT | 2018-04-13 | Paper |
| An Overview of Viscosity Solutions of Path-Dependent PDEs | 2018-04-09 | Paper |
| Unbiased simulation of stochastic differential equations | 2018-03-08 | Paper |
| Dynamic programming approach to principal-agent problems | 2018-01-16 | Paper |
| Complete duality for martingale optimal transport on the line | 2017-11-24 | Paper |
| Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs | 2017-11-09 | Paper |
| Monotone martingale transport plans and Skorokhod embedding | 2017-09-07 | Paper |
| Optimal Skorokhod embedding given full marginals and Azéma-Yor peacocks | 2017-08-08 | Paper |
| Tightness and duality of martingale transport on the Skorokhod space | 2017-02-14 | Paper |
| Large deviations for non-Markovian diffusions and a path-dependent Eikonal equation | 2016-10-26 | Paper |
| Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II | 2016-09-30 | Paper |
| On the Monotonicity Principle of Optimal Skorokhod Embedding Problem | 2016-09-23 | Paper |
| An explicit martingale version of the one-dimensional Brenier theorem | 2016-09-07 | Paper |
| Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints | 2016-09-06 | Paper |
| An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint | 2016-08-08 | Paper |
| Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I. | 2016-05-12 | Paper |
| Martingale Inequalities for the Maximum via Pathwise Arguments | 2016-04-13 | Paper |
| The maximum maximum of a martingale with given \(n\) marginals | 2016-03-11 | Paper |
| Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case | 2016-02-03 | Paper |
| Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging | 2016-01-29 | Paper |
| Comparison of viscosity solutions of fully nonlinear degenerate parabolic Path-dependent PDEs | 2015-11-18 | Paper |
| OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS | 2015-04-24 | Paper |
| Path-dependent equations and viscosity solutions in infinite dimension | 2015-02-19 | Paper |
| On the robust superhedging of measurable claims | 2014-09-22 | Paper |
| Optimal stopping under nonlinear expectation | 2014-09-04 | Paper |
| A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options | 2014-04-04 | Paper |
| On viscosity solutions of path dependent PDEs | 2014-03-06 | Paper |
| A numerical algorithm for a class of BSDEs via the branching process | 2014-02-07 | Paper |
| Hedging and Vertical Integration in Electricity Markets | 2014-01-20 | Paper |
| Homogenization and Asymptotics for Small Transaction Costs | 2013-11-15 | Paper |
| Optimal transportation under controlled stochastic dynamics | 2013-11-12 | Paper |
| Singular forward-backward stochastic differential equations and emissions derivatives | 2013-05-10 | Paper |
| Dual formulation of second order target problems | 2013-04-24 | Paper |
| Detecting the Maximum of a Scalar Diffusion with Negative Drift | 2013-02-21 | Paper |
| An Explicit Martingale Version of Brenier's Theorem | 2013-02-20 | Paper |
| Large liquidity expansion of super-hedging costs | 2012-10-29 | Paper |
| Wellposedness of second order backward SDEs | 2012-07-31 | Paper |
| Quasi-sure stochastic analysis through aggregation | 2012-06-22 | Paper |
| Optimal stochastic control, stochastic target problems, and backward SDE. | 2012-06-04 | Paper |
| Option hedging for small investors under liquidity costs | 2011-11-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3096734 | 2011-11-11 | Paper |
| Weak Dynamic Programming Principle for Viscosity Solutions | 2011-10-18 | Paper |
| A probabilistic numerical method for fully nonlinear parabolic PDEs | 2011-10-12 | Paper |
| Martingale representation theorem for the \(G\)-expectation | 2011-07-08 | Paper |
| Stochastic Target Problems with Controlled Loss | 2010-10-20 | Paper |
| The Dynamic Programming Equation for Second Order Stochastic Target Problems | 2010-08-16 | Paper |
| On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights | 2010-07-08 | Paper |
| Law invariant risk measures have the Fatou property | 2010-06-02 | Paper |
| Merton Problem with Taxes: Characterization, Computation, and Approximation | 2010-06-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3656686 | 2010-01-13 | Paper |
| A STRUCTURAL RISK-NEUTRAL MODEL OF ELECTRICITY PRICES | 2010-01-08 | Paper |
| Valuation of power plants by utility indifference and numerical computation | 2009-09-09 | Paper |
| Optimal lifetime consumption and investment under a drawdown constraint | 2009-02-28 | Paper |
| The Dynamic Programming Equation for the Problem of Optimal Investment Under Capital Gains Taxes | 2008-09-23 | Paper |
| OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS | 2008-04-30 | Paper |
| OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS | 2008-04-30 | Paper |
| Kernel estimation of Greek weights by parameter randomization | 2008-01-28 | Paper |
| Optimal derivatives design for mean-variance agents under adverse selection | 2007-11-05 | Paper |
| No arbitrage conditions and liquidity | 2007-08-20 | Paper |
| Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs | 2007-06-11 | Paper |
| HEDGING UNDER GAMMA CONSTRAINTS BY OPTIMAL STOPPING AND FACE-LIFTING | 2007-06-08 | Paper |
| Monte Carlo estimation of a joint density using Malliavin calculus, and application to American options | 2006-11-17 | Paper |
| Small time path behavior of double stochastic integrals and applications to stochastic control | 2006-07-10 | Paper |
| Maturity randomization for stochastic control problems | 2006-07-10 | Paper |
| The multi-dimensional super-replication problem under gamma constraints | 2005-12-07 | Paper |
| Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations | 2005-08-05 | Paper |
| Vector-valued coherent risk measures | 2005-05-20 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4673214 | 2005-04-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3159347 | 2005-02-15 | Paper |
| On the Malliavin approach to Monte Carlo approximation of conditional expectations | 2004-11-24 | Paper |
| Dual formulation of the utility maximization problem: the case of nonsmooth utility. | 2004-09-15 | Paper |
| Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints. | 2004-09-07 | Paper |
| A stochastic representation for mean curvature type geometric flows | 2004-06-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4429139 | 2003-09-24 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4409944 | 2003-07-01 | Paper |
| Option pricing by large risk aversion utility under transaction costs | 2003-05-31 | Paper |
| Dual formulation of the utility maximization problem under transaction costs | 2003-05-06 | Paper |
| Explicit solution to the multivariate super-replication problem under transaction costs. | 2003-05-06 | Paper |
| Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions | 2003-01-05 | Paper |
| Continuous-Time Dynkin Games with Mixed Strategies | 2003-01-05 | Paper |
| Dynamic programming for stochastic target problems and geometric flows | 2002-12-01 | Paper |
| On Super-Replication in Discrete Time under Transaction Costs | 2002-04-25 | Paper |
| A STOCHASTIC REPRESENTATION FOR THE LEVEL SET EQUATIONS | 2002-01-01 | Paper |
| No Arbitrage in Discrete Time Under Portfolio Constraints | 2001-11-26 | Paper |
| Spectral methods for identifying scalar diffusions | 2001-06-19 | Paper |
| Contingent Claims and Market Completeness in a Stochastic Volatility Model | 2001-03-29 | Paper |
| Optimal investment with taxes: An existence result | 2000-11-20 | Paper |
| Superreplication Under Gamma Constraints | 2000-10-18 | Paper |
| Optimal insurance demand under marked point processes shocks. | 2000-09-04 | Paper |
| Super-replication under proportional transaction costs: From discrete to continuous-time models | 2000-08-28 | Paper |
| Hedging in discrete time under transaction costs and continuous-time limit | 2000-06-14 | Paper |
| American options exercise boundary when the volatility changes randomly | 2000-05-28 | Paper |
| The fundamental theorem of asset pricing with cone constraints | 2000-05-10 | Paper |
| Super-replication in stochastic volatility models under portfolio constraints | 2000-04-10 | Paper |
| Optimal investment with taxes: an optimal control problem with endogeneous delay | 1999-10-05 | Paper |
| A closed-form solution to the problem of super-replication under transaction costs | 1999-09-14 | Paper |
| EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL1 | 1999-07-05 | Paper |
| OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL | 1999-07-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4356586 | 1998-10-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4361192 | 1997-12-09 | Paper |
| Viscosity Solutions for HJB Equations on the Process Space: Application to Mean Field Control with Common Noise | N/A | Paper |
| Mean Field Game of Mutual Holding with common noise | N/A | Paper |
| It\=o and It\=o-Wentzell chain rule for flows of conditional laws of continuous semimartingales: an easy approach | N/A | Paper |
