| Publication | Date of Publication | Type |
|---|
| Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy | 2019-01-15 | Paper |
| Optimal constrained investment in the Cramer-Lundberg model | 2018-07-11 | Paper |
| Minimal cost of a Brownian risk without ruin | 2014-04-25 | Paper |
| Portfolio size as function of the premium: modelling and optimization | 2014-04-17 | Paper |
| A stochastic volatility model and optimal portfolio selection | 2014-01-23 | Paper |
| AN APPLICATION OF THE METHOD OF MOMENTS TO RANGE-BASED VOLATILITY ESTIMATION USING DAILY HIGH, LOW, OPENING, AND CLOSING (HLOC) PRICES | 2013-10-21 | Paper |
| Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model | 2012-03-06 | Paper |
| Optimal non-proportional reinsurance control | 2012-02-10 | Paper |
| Band Control of Mutual Proportional Reinsurance | 2011-12-19 | Paper |
| Excess-of-loss reinsurance under taxes and fixed costs | 2011-08-16 | Paper |
| Optimal excess-of-loss reinsurance under borrowing constraints | 2011-08-16 | Paper |
| Optimal non-proportional reinsurance control and stochastic differential games | 2011-08-01 | Paper |
| On absolute ruin minimization under a diffusion approximation model | 2011-08-01 | Paper |
| On Maximizing CRRA Utility in Regime Switching Markets with Random Endowment | 2010-10-20 | Paper |
| Growth-optimal investments and numeraire portfolios under transaction costs: An analysis based on the von Neumann-Gale model | 2009-09-25 | Paper |
| Dynamic interaction models of economic equilibrium | 2009-08-07 | Paper |
| On reinsurance and investment for large insurance portfolios | 2008-08-22 | Paper |
| Optimal Terminal Wealth Under Partial Information: Both the Drift and the Volatility Driven by a Discrete-Time Markov Chain | 2008-08-01 | Paper |
| Markovian demand inventory models | 2008-06-30 | Paper |
| Rapid paths in von Neumann–Gale dynamical systems | 2008-05-15 | Paper |
| The influence of bankruptcy value on optimal risk control for diffusion models with proportional reinsurance | 2007-09-03 | Paper |
| CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM | 2006-06-12 | Paper |
| On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria | 2004-11-16 | Paper |
| RAPID GROWTH PATHS IN CONVEX-VALUED RANDOM DYNAMICAL SYSTEMS | 2004-05-18 | Paper |
| Optimal dynamic reinsurance policies for large insurance portfolios | 2004-03-16 | Paper |
| Convex stochastic optimization for random fields on graphs: A method of constructing Lagrange multipliers | 2003-07-16 | Paper |
| Equilibrium states of random economies with locally interacting agents and solutions to stochastic variational inequalities in \(\langle L_1,L_{\infty}\rangle\) | 2003-01-27 | Paper |
| Dynkin Games via Dirichlet Forms and Singular Control of One-Dimensional Diffusions | 2003-01-05 | Paper |
| A Dynamic Stochastic Stock-Cutting Problem | 2002-03-18 | Paper |
| Optimal risk control for a large corporation in the presence of returns on investments | 2002-03-13 | Paper |
| Optimal Financing of a Corporation Subject To Random Returns | 2002-01-01 | Paper |
| Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example | 2001-11-26 | Paper |
| Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility | 2001-11-26 | Paper |
| Dependence of the optimal risk control decisions on the terminal value for a financial corporation | 2001-06-14 | Paper |
| Optimal production and setup scheduling: A one-machine, two-product system | 2001-06-14 | Paper |
| Diffusion Approximation and Optimal Stochastic Control | 2001-05-02 | Paper |
| Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation | 2001-03-01 | Paper |
| Optimal risk and dividend distribution control models for an insurance company | 2000-11-12 | Paper |
| Robust output feedback control for linear stochastic systems in continuous time with time-varying parameters | 2000-10-17 | Paper |
| Stochastic control for optimal new business | 2000-01-01 | Paper |
| Optimal proportional reinsurance policies for diffusion models | 1999-03-25 | Paper |
| Inventory models with Markovian demands and cost functions of polynomial growth | 1999-02-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4227228 | 1999-02-23 | Paper |
| Producing in a manufacturing system with minimum average cost | 1998-09-07 | Paper |
| Optimal proportional reinsurance policies for diffusion models with transaction costs | 1998-01-01 | Paper |
| The linear programming approach to deterministic optimal control problems | 1997-09-01 | Paper |
| Optimal production planning in a stochastic manufacturing system with long-run average cost | 1997-08-25 | Paper |
| Deterministic Approximation for Stochastic Control Problems | 1997-08-11 | Paper |
| Infinite-Dimensional Linear Programming Approach to SingularStochastic Control | 1997-05-19 | Paper |
| Controlled diffusion models for optimal dividend pay-out | 1997-01-01 | Paper |
| Robust Control of Linear Stochastic Systems with Fully Observable State | 1996-12-03 | Paper |
| Diffusion Approximation for a Controlled Stochastic Manufacturing System with Average Cost Minimization | 1996-07-15 | Paper |
| Stochastic equilibria on graphs. II | 1996-03-18 | Paper |
| Double Band Policy for Stochastic Manufacturing Systems in Heavy Traffic | 1995-09-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4326624 | 1995-03-22 | Paper |
| Stochastic equilibria on graphs, I | 1994-11-23 | Paper |
| A Heavy-Traffic Limit for the Cycle Counting Process in G/G/1, Optional Interruptions and Elastic Screen Brownian Motion | 1994-08-15 | Paper |
| Infinite-horizon investment consumption model with a nonterminal bankruptcy | 1994-04-27 | Paper |
| Optimality in probability and almost surely. the general scheme and a linear regulator problem | 1994-01-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3364199 | 1994-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3140712 | 1993-12-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3140699 | 1993-11-28 | Paper |
| Production control in a failure-prone manufactoring system: Diffusion approximation and asymptotic optimality | 1993-10-28 | Paper |
| Diffusion approximation for \(GI/G/1\) controlled queues | 1993-04-01 | Paper |
| Skorohod problems with nonsmooth boundary conditions | 1993-01-16 | Paper |
| Explicit solution of a general consumption/portfolio problem with subsistence consumption and bankruptcy | 1993-01-16 | Paper |
| Singular ergodic control for multidimensional Gaussian processes | 1992-06-28 | Paper |
| An Asymptotic Analysis of Hierarchical Control of Manufacturing Systems Under Uncertainty | 1992-06-27 | Paper |
| Probabilistic approach to computational algorithms for finding stationary distributions of Markov chains | 1992-06-26 | Paper |
| A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees | 1992-06-25 | Paper |
| Deterministic equivalent for a continuous linear-convex stochastic control problem | 1990-01-01 | Paper |
| Optimal correction problem of a multidimensional stochastic system | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3818974 | 1989-01-01 | Paper |
| Stationary regenerative sets and subordinators | 1988-01-01 | Paper |
| A note on Merton's ``Optimum consumption and portfolio rules in a continuous-time model | 1988-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3766611 | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3747443 | 1986-01-01 | Paper |
| Optimal Price and Income Regulation under Uncertainty in the Model with one Producer | 1986-01-01 | Paper |
| Diffusion Approximation in Arrow’s Model of Exhaustable Resources | 1986-01-01 | Paper |
| Average Optimal Singular Control and a Related Stopping Problem | 1985-01-01 | Paper |
| Regenerative Analysis and Steady State Distributions for Markov Chains | 1985-01-01 | Paper |
| Storage model with discontinuous holding cost | 1984-01-01 | Paper |
| Instantaneous Control of Brownian Motion | 1983-01-01 | Paper |
| Enhancing of semigroups | 1983-01-01 | Paper |
| First hitting time of curvilinear boundary by Wiener process | 1982-01-01 | Paper |
| Subprocesses of stationary Markov processes | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3875000 | 1980-01-01 | Paper |
| On Events Connected with Reaching a Set by Sample Paths of a Stochastic Process | 1976-01-01 | Paper |
| A Formula for Wanderings of a Regular Markov Process | 1976-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5554016 | 1968-01-01 | Paper |
| On a Property of a Sequence of Events | 1968-01-01 | Paper |
