| Publication | Date of Publication | Type |
|---|
Continuous time reinforcement learning: a random measure approach
Stochastic Processes and their Applications | 2026-01-16 | Paper |
General transfer formula for stochastic integral with respect to multifractional Brownian motion
Journal of Theoretical Probability | 2024-04-02 | Paper |
Solving Optimal Stopping Problems via Randomization and Empirical Dual Optimization
Mathematics of Operations Research | 2024-02-27 | Paper |
| Superhedging Supermartingales | 2023-12-22 | Paper |
| Entropy-Regularized Mean-Variance Portfolio Optimization with Jumps | 2023-12-20 | Paper |
| A segment-wise dynamic programming algorithm for BSDEs | 2023-07-13 | Paper |
Stochastic solutions of generalized time-fractional evolution equations
Fractional Calculus \ Applied Analysis | 2022-12-23 | Paper |
Subordination principle and Feynman-Kac formulae for generalized time-fractional evolution equations
Fractional Calculus \ Applied Analysis | 2022-12-21 | Paper |
Subordination principle and Feynman-Kac formulae for generalized time-fractional evolution equations
(available as arXiv preprint) | 2022-02-03 | Paper |
``Regression anytime with brute-force SVD truncation
The Annals of Applied Probability | 2021-11-04 | Paper |
``Regression anytime with brute-force SVD truncation
The Annals of Applied Probability | 2021-11-04 | Paper |
| Conditional Non-Lattice Integration, Pricing and Superhedging | 2021-05-25 | Paper |
| Model-Free Finance and Non-Lattice Integration | 2021-05-21 | Paper |
Itô's formula for Gaussian processes with stochastic discontinuities
The Annals of Probability | 2020-05-29 | Paper |
Itô's formula for Gaussian processes with stochastic discontinuities
The Annals of Probability | 2020-05-29 | Paper |
Arbitrage-free interpolation of call option prices
Statistics & Risk Modeling | 2020-04-22 | Paper |
Pathwise dynamic programming
Mathematics of Operations Research | 2020-03-12 | Paper |
`Regression Anytime' with Brute-Force SVD Truncation
(available as arXiv preprint) | 2019-08-22 | Paper |
Discretizing Malliavin calculus
Stochastic Processes and their Applications | 2018-06-13 | Paper |
A primal-dual algorithm for BSDEs
Mathematical Finance | 2017-07-21 | Paper |
A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS
Mathematical Finance | 2017-07-21 | Paper |
Iterative improvement of lower and upper bounds for backward SDEs
SIAM Journal on Scientific Computing | 2017-05-31 | Paper |
A general non-existence result for linear BSDEs driven by Gaussian processes
Stochastic Processes and their Applications | 2017-03-20 | Paper |
A first-order BSPDE for swing option pricing
Mathematical Finance | 2016-07-15 | Paper |
| Pathwise Iteration for Backward SDEs | 2016-05-24 | Paper |
Maximal inequalities for fractional Lévy and related processes
Stochastic Analysis and Applications | 2015-10-23 | Paper |
Sticky Continuous Processes have Consistent Price Systems
Journal of Applied Probability | 2015-10-02 | Paper |
Sticky Continuous Processes have Consistent Price Systems
Journal of Applied Probability | 2015-10-02 | Paper |
Solving Stochastic Dynamic Programs by Convex Optimization and Simulation
Extraction of Quantifiable Information from Complex Systems | 2015-06-18 | Paper |
A generalised Itō formula for Lévy-driven Volterra processes
Stochastic Processes and their Applications | 2015-05-27 | Paper |
Dual representations for general multiple stopping problems
Mathematical Finance | 2015-04-24 | Paper |
Dual pricing of multi-exercise options under volume constraints
Finance and Stochastics | 2014-12-17 | Paper |
Backward SDEs driven by Gaussian processes
Stochastic Processes and their Applications | 2014-09-02 | Paper |
A posteriori estimates for backward SDEs
SIAM/ASA Journal on Uncertainty Quantification | 2014-02-25 | Paper |
Discretization of backward stochastic Volterra integral equations
Recent Developments in Computational Finance | 2013-09-24 | Paper |
| On the connection between discrete and continuous Wick calculus with an application to the fractional Black-Scholes model | 2013-06-12 | Paper |
Simple arbitrage
The Annals of Applied Probability | 2012-11-29 | Paper |
Simple arbitrage
The Annals of Applied Probability | 2012-11-29 | Paper |
Least-squares Monte Carlo for backward SDEs
Springer Proceedings in Mathematics | 2012-09-28 | Paper |
Approximating a geometric fractional Brownian motion and related processes via discrete Wick calculus
Bernoulli | 2012-09-19 | Paper |
Approximating a geometric fractional Brownian motion and related processes via discrete Wick calculus
Bernoulli | 2012-09-19 | Paper |
Finite variation of fractional Lévy processes
Journal of Theoretical Probability | 2012-06-26 | Paper |
Primal and Dual Pricing of Multiple Exercise Options in Continuous Time
SIAM Journal on Financial Mathematics | 2012-04-19 | Paper |
Fractional processes as models in stochastic finance
Advanced Mathematical Methods for Finance | 2011-08-08 | Paper |
Importance sampling for backward SDEs
Stochastic Analysis and Applications | 2010-03-19 | Paper |
Integrating Volatility Clustering Into Exponential Lévy Models
Journal of Applied Probability | 2009-10-08 | Paper |
Pricing by hedging and no-arbitrage beyond semimartingales
Finance and Stochastics | 2009-08-08 | Paper |
TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
Mathematical Finance | 2009-03-06 | Paper |
Stochastic calculus for convoluted Lévy processes
Bernoulli | 2009-03-02 | Paper |
On \(q\)-optimal martingale measures in exponential Lévy models
Finance and Stochastics | 2009-02-28 | Paper |
OPTIMAL SUPERHEDGING UNDER NON-CONVEX CONSTRAINTS — A BSDE APPROACH
International Journal of Theoretical and Applied Finance | 2008-08-26 | Paper |
Enhanced policy iteration for American options via scenario selection
Quantitative Finance | 2008-05-15 | Paper |
Time discretization and Markovian iteration for coupled FBSDEs
The Annals of Applied Probability | 2008-03-19 | Paper |
A forward scheme for backward SDEs
Stochastic Processes and their Applications | 2007-12-17 | Paper |
| scientific article; zbMATH DE number 5220411 (Why is no real title available?) | 2007-12-16 | Paper |
Policy iteration for american options: overview
Monte Carlo Methods and Applications | 2007-08-24 | Paper |
An iterative method for multiple stopping: convergence and stability
Advances in Applied Probability | 2006-11-02 | Paper |
Explicit solutions of a class of linear fractional BSDEs
Systems & Control Letters | 2006-09-25 | Paper |
An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter.
Stochastic Processes and their Applications | 2005-11-29 | Paper |
Arbitrage in a Discrete Version of the Wick-Fractional Black-Scholes Market
Mathematics of Operations Research | 2005-11-11 | Paper |
THE RESTRICTION OF THE FRACTIONAL ITÔ INTEGRAL TO ADAPTED INTEGRANDS IS INJECTIVE
Stochastics and Dynamics | 2005-03-30 | Paper |
An \(S\)-transform approach to integration with respect to a fractional Brownian motion
Bernoulli | 2004-06-10 | Paper |
On the Clark-Ocone Theorem for Fractional Brownian Motions with Hurst Parameter bigger than a Half
Stochastics and Stochastic Reports | 2004-05-27 | Paper |
