| Publication | Date of Publication | Type |
|---|
| On the separation of estimation and control in risk-sensitive investment problems under incomplete observation | 2024-08-13 | Paper |
| A stochastic control perspective on term structure models with roll-over risk | 2023-10-12 | Paper |
| An Italian perspective on the development of financial mathematics from 1992 to 2008 | 2022-02-01 | Paper |
| Arbitrage concepts under trading restrictions in discrete-time financial markets | 2021-03-03 | Paper |
| Minimizing capital injections by investment and reinsurance for a piecewise deterministic reserve process model | 2018-12-14 | Paper |
| Derivative Pricing for a Multi-curve Extension of the Gaussian, Exponentially Quadratic Short Rate Model | 2018-10-22 | Paper |
| Arbitrage and utility maximization in market models with an insider | 2018-09-05 | Paper |
| Classical and restricted impulse control for the exchange rate under a stochastic trend model | 2018-08-13 | Paper |
| Minimizing Ruin Probabilities by Reinsurance and Investment: A Markovian Decision Approach | 2017-11-22 | Paper |
| Pathwise Optimality for Benchmark Tracking | 2017-07-12 | Paper |
| On classical and restricted impulse stochastic control for the exchange rate | 2017-03-28 | Paper |
| A Systematic Approach to Constructing Market Models with Arbitrage | 2015-10-21 | Paper |
| On the Existence of Martingale Measures in Jump Diffusion Market Models | 2015-10-21 | Paper |
| Interest Rate Modeling: Post-Crisis Challenges and Approaches | 2015-10-08 | Paper |
| Expected log-utility maximization under incomplete information and with Cox-process observations | 2015-02-04 | Paper |
| Monte Carlo Variance Reduction by Conditioning for Pricing with Underlying a Continuous-Time Finite State Markov Process | 2015-01-20 | Paper |
| Stochastic Control and Pricing Under Swap Measures | 2014-02-19 | Paper |
| ARBITRAGE-FREE MULTIFACTOR TERM STRUCTURE MODELS: A THEORY BASED ON STOCHASTIC CONTROL | 2013-10-11 | Paper |
| Diffusion-Based Models for Financial Markets Without Martingale Measures | 2013-07-30 | Paper |
| Expected power-utility maximization under incomplete information and with Cox-process observations | 2013-04-15 | Paper |
| Portfolio optimization in a defaultable market under incomplete information | 2013-02-25 | Paper |
| Ruin Probabilities in a Finite-Horizon Risk Model with Investment and Reinsurance | 2013-01-19 | Paper |
| On optimal investment in a reinsurance context with a point process market model | 2012-02-10 | Paper |
| Financial Mathematics | 2012-02-01 | Paper |
| Pricing credit derivatives under incomplete information: a nonlinear-filtering approach | 2011-11-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3015768 | 2011-07-13 | Paper |
| Pricing Without Equivalent Martingale Measures Under Complete and Incomplete Observation | 2011-05-31 | Paper |
| CREDIT RISK AND INCOMPLETE INFORMATION: FILTERING AND EM PARAMETER ESTIMATION | 2010-09-16 | Paper |
| Finanza Matematica | 2009-10-26 | Paper |
| Numerical Approximation by Quantization of Control Problems in Finance Under Partial Observations | 2009-06-05 | Paper |
| Large portfolio losses: A dynamic contagion model | 2009-04-02 | Paper |
| A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA | 2008-09-03 | Paper |
| A FILTERING APPROACH TO PRICING IN MULTIFACTOR TERM STRUCTURE MODELS | 2008-09-03 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3511646 | 2008-07-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3509355 | 2008-07-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3509874 | 2008-06-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3504637 | 2008-06-11 | Paper |
| A benchmark approach to portfolio optimization under partial information | 2008-02-18 | Paper |
| Consistent price systems for subfiltrations | 2007-11-30 | Paper |
| Portfolio optimization in discontinuous markets under incomplete information | 2007-11-27 | Paper |
| The volatility of the instantaneous spot interest rate implied by arbitrage pricing -- a dynamic Bayesian approach | 2006-10-05 | Paper |
| Inferring the Forward Looking Equity Risk Premium from Derivative Prices | 2006-01-27 | Paper |
| A benchmark approach to filtering in finance | 2005-12-09 | Paper |
| A filtered no arbitrage model for term structures from noisy data | 2005-08-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5463027 | 2005-08-01 | Paper |
| Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation | 2005-07-05 | Paper |
| Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities | 2005-02-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3159225 | 2005-02-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3160517 | 2005-02-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4462135 | 2004-05-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4792531 | 2003-02-11 | Paper |
| Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times | 2002-11-24 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4550918 | 2002-11-11 | Paper |
| On hedging in finite security markets | 2002-09-04 | Paper |
| A robustness result for stochastic control | 2002-07-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4421380 | 2002-01-01 | Paper |
| Sufficient conditions for finite dimensionality of filters in discrete time: A Laplace transform-based approach | 2001-07-12 | Paper |
| Diffusion Approximation and Optimal Stochastic Control | 2001-05-02 | Paper |
| A Stochastic Control Approach to Risk Management Under Restricted Information | 2001-03-29 | Paper |
| On filtering in Markovian term structure models: an approximation approach | 2001-01-01 | Paper |
| A Bayesian dynamic programming approach to optimal maintenance combined with burn-in | 2000-01-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4251562 | 1999-11-15 | Paper |
| Concepts and methods for discrete and continuous time control under uncertainty | 1999-07-19 | Paper |
| Explicit solutions for multivariate, discrete-time control problems under uncertainty | 1999-01-12 | Paper |
| On control of two-scale stochastic systems with linear dynamics in the fast variables | 1998-11-15 | Paper |
| Towards a general theory of bond markets | 1998-06-04 | Paper |
| Option Pricing For Jump Diffusions: Approximations and Their Interpretation | 1998-01-21 | Paper |
| Bond Market Structure in the Presence of Marked Point Processes | 1998-01-21 | Paper |
| On dynamic programming for sequential decision problems under a general form of uncertainty | 1997-08-26 | Paper |
| Deterministic Approximation for Stochastic Control Problems | 1997-08-11 | Paper |
| Connections between stochastic control and dynamic games | 1997-06-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4878010 | 1996-10-13 | Paper |
| Nonlinear filters for linear models (a robust approach) | 1996-05-14 | Paper |
| Numerical aspects of monotone approximations in convex stochastic control problems | 1996-03-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4845603 | 1996-02-20 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4848527 | 1996-02-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4848528 | 1995-11-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4836290 | 1995-07-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4324879 | 1995-03-02 | Paper |
| Filtering for nonlinear systems driven by nonwhite noises:an approximation scheme | 1994-04-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4274061 | 1994-01-03 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3140710 | 1993-12-05 | Paper |
| Nearly Optimal Controls for Stochastic Ergodic Problems with Partial Observation | 1993-08-08 | Paper |
| Sul ruolo delle distribuzioni di classe esponenziale nel filtraggio | 1992-09-27 | Paper |
| On the construction of nearly optimal strategies for a general problem of control of partially observed diffusions | 1992-06-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3975867 | 1992-06-26 | Paper |
| Approximations for discrete-time adaptive control: Construction of \(\varepsilon\)-optimal controls | 1992-06-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5202138 | 1991-01-01 | Paper |
| On diffusion approximations for filtering | 1991-01-01 | Paper |
| Diffusion approximation in past dependent models and applications to option pricing | 1991-01-01 | Paper |
| On the construction of \(\epsilon\)-optimal strategies in partially observed MDPs | 1991-01-01 | Paper |
| On necessary conditions for the existence of finite-dimensional filters in discrete time | 1990-01-01 | Paper |
| Combined filtering and parameter estimation: Approximations and robustness | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3199291 | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3360111 | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3474574 | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3476735 | 1989-01-01 | Paper |
| Logarithmic transformations for discrete-time, finite-horizon stochastic control problems | 1988-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3815232 | 1988-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3830928 | 1988-01-01 | Paper |
| An Approach to Discrete-Time Stochastic Control Problems under Partial Observation | 1987-01-01 | Paper |
| An approximation method for stochastic control problems with partial observation of the state - a method for constructing \(\in\)-optimal controls | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3030700 | 1987-01-01 | Paper |
| Filtering and control for wide bandwidth noise driven systems | 1987-01-01 | Paper |
| Nearly Optimal State Feedback Controls for Stochastic Systems with Wideband Noise Disturbances | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3775443 | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3718612 | 1986-01-01 | Paper |
| An approximation scheme for stochastic dynamic optimization problems | 1986-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3731484 | 1986-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3731501 | 1986-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3772111 | 1986-01-01 | Paper |
| An approximation for the nonlinear filtering problem, with error bound† | 1985-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3315422 | 1984-01-01 | Paper |
| Non-linear filtering with discontinuous observations and applications to life sciences | 1983-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3669278 | 1983-01-01 | Paper |
| On measure transformations for combined filtering and parameter estimation in discrete time | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3338070 | 1982-01-01 | Paper |
| Approximations and bounds for a generalized optimal stopping problem | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3966020 | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3968858 | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4749054 | 1981-01-01 | Paper |
| Continuous-time approximations for the nonlinear filtering problem | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3928086 | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3958365 | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3927152 | 1980-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4109149 | 1975-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5615808 | 1969-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5626437 | 1969-01-01 | Paper |
