| Publication | Date of Publication | Type |
|---|
Singularities of Fitzpatrick and convex functions
Journal of Convex Analysis | 2024-10-17 | Paper |
Backward martingale transport and Fitzpatrick functions in pseudo-Euclidean spaces
The Annals of Applied Probability | 2024-04-10 | Paper |
Backward martingale transport maps in pseudo-Euclidean spaces
| 2023-04-17 | Paper |
Singularities of Fitzpatrick and convex functions
| 2022-12-19 | Paper |
Density of the set of probability measures with the martingale representation property
The Annals of Probability | 2019-10-08 | Paper |
Existence and uniqueness of Arrow-Debreu equilibria with consumptions in \(\mathbf{L}^0_+\)
Theory of Probability & Its Applications | 2016-12-07 | Paper |
Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model
SIAM Journal on Financial Mathematics | 2016-09-28 | Paper |
Muckenhoupt's \((A_p)\) condition and the existence of the optimal martingale measure
Stochastic Processes and their Applications | 2016-08-08 | Paper |
A system of quadratic BSDEs arising in a price impact model
The Annals of Applied Probability | 2016-06-09 | Paper |
A model for a large investor trading at market indifference prices. II: Continuous-time case.
The Annals of Applied Probability | 2015-10-20 | Paper |
The stochastic field of aggregate utilities and its saddle conjugate
Proceedings of the Steklov Institute of Mathematics | 2015-08-20 | Paper |
A model for a large investor trading at market indifference prices. I: Single-period case
Finance and Stochastics | 2015-03-30 | Paper |
Existence of an endogenously complete equilibrium driven by a diffusion
Finance and Stochastics | 2015-01-19 | Paper |
Integral representation of martingales motivated by the problem of endogenous completeness in financial economics
Stochastic Processes and their Applications | 2014-02-06 | Paper |
On a stochastic differential equation arising in a price impact model
Stochastic Processes and their Applications | 2013-03-06 | Paper |
Asymptotic analysis of utility-based hedging strategies for small number of contingent claims
Stochastic Processes and their Applications | 2007-12-17 | Paper |
Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
The Annals of Applied Probability | 2007-08-06 | Paper |
On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets
The Annals of Applied Probability | 2007-02-05 | Paper |
ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
Mathematical Finance | 2006-02-08 | Paper |
scientific article; zbMATH DE number 2173967 (Why is no real title available?)
| 2005-06-07 | Paper |
Optimal investment with random endowments in incomplete markets.
The Annals of Applied Probability | 2004-09-15 | Paper |
Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
The Annals of Applied Probability | 2004-03-30 | Paper |
scientific article; zbMATH DE number 1865423 (Why is no real title available?)
| 2003-02-06 | Paper |
scientific article; zbMATH DE number 1144393 (Why is no real title available?)
| 2001-08-02 | Paper |
The asymptotic elasticity of utility functions and optimal investment in incomplete markets
The Annals of Applied Probability | 2000-09-04 | Paper |
scientific article; zbMATH DE number 1195828 (Why is no real title available?)
| 1999-03-02 | Paper |
Asymptotic arbitrage in large financial markets
Finance and Stochastics | 1998-08-19 | Paper |
Optional decompositions under constraints
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1997-09-09 | Paper |
Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1996-12-16 | Paper |
scientific article; zbMATH DE number 796435 (Why is no real title available?)
| 1996-02-21 | Paper |
scientific article; zbMATH DE number 796446 (Why is no real title available?)
| 1996-02-20 | Paper |
scientific article; zbMATH DE number 796444 (Why is no real title available?)
| 1996-02-20 | Paper |
scientific article; zbMATH DE number 796443 (Why is no real title available?)
| 1996-02-20 | Paper |
scientific article; zbMATH DE number 796440 (Why is no real title available?)
| 1995-10-25 | Paper |
scientific article; zbMATH DE number 796439 (Why is no real title available?)
| 1995-10-25 | Paper |
scientific article; zbMATH DE number 721878 (Why is no real title available?)
| 1995-07-13 | Paper |
scientific article; zbMATH DE number 512567 (Why is no real title available?)
| 1994-11-29 | Paper |
A.D. Alexandrov spaces with curvature bounded below
Russian Mathematical Surveys | 1994-05-18 | Paper |
On the Δ-convergence of statistical tests on totally bounded sets
Russian Mathematical Surveys | 1990-01-01 | Paper |
scientific article; zbMATH DE number 4172071 (Why is no real title available?)
| 1989-01-01 | Paper |
