| Publication | Date of Publication | Type |
|---|
A generalized Itō-Ventzell formula to derive forward utility models in a jump market
Stochastic Analysis and Applications | 2013-08-27 | Paper |
Modeling the forward CDS spreads with jumps
Stochastic Analysis and Applications | 2012-06-20 | Paper |
Defaultable Bond markets with jumps
Stochastic Analysis and Applications | 2012-04-18 | Paper |
The compatible bond-stock market with jumps
International Journal of Theoretical and Applied Finance | 2011-10-24 | Paper |
| Jump bond markets some steps towards general models in applications to hedging and utility problems | 2011-10-21 | Paper |
Optimal exponential utility in a jump bond market
Stochastic Analysis and Applications | 2011-03-08 | Paper |
The mean-variance hedging in a bond market with jumps
Stochastic Analysis and Applications | 2010-10-07 | Paper |
Mean variance hedging in a general jump market
International Journal of Theoretical and Applied Finance | 2010-09-16 | Paper |
Mean Variance Hedging in a General Jump Model
Applied Mathematical Finance | 2010-05-27 | Paper |
The \(S\)-related dynamic convex valuation in the Brownian motion setting
Stochastic Analysis and Applications | 2010-03-19 | Paper |
An \(S\)-related DCV generated by a convex function in a jump market
Stochastic Analysis and Applications | 2010-03-19 | Paper |
The Dynamic Convex Valuation Related to the Price Process in a Market with General Jumps
Stochastic Analysis and Applications | 2009-06-17 | Paper |
The Dynamicq-Valuation of a Contingent Claim in a Continuous Market Model
Stochastic Analysis and Applications | 2009-03-03 | Paper |
The Minimal Entropy and the Convergence of thep-Optimal Martingale Measures in a General Jump Model
Stochastic Analysis and Applications | 2008-11-14 | Paper |
OPTIMAL SUPERHEDGING UNDER NON-CONVEX CONSTRAINTS — A BSDE APPROACH
International Journal of Theoretical and Applied Finance | 2008-08-26 | Paper |
| The \(p\)-optimal martingale measure when there exist inaccessible jumps | 2008-02-15 | Paper |
Change of filtrations and mean–variance hedging
Stochastics | 2008-01-09 | Paper |
On convergence to the exponential utility problem
Stochastic Processes and their Applications | 2007-12-17 | Paper |
The Mean-Variance Hedging of a Defaultable Option with Partial Information
Stochastic Analysis and Applications | 2007-09-21 | Paper |
Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
Stochastic Processes and their Applications | 2005-02-25 | Paper |
Multidimensional Backward Stochastic Riccati Equations and Applications
SIAM Journal on Control and Optimization | 2004-01-08 | Paper |
Minimization of Risk and Linear Quadratic Optimal Control Theory
SIAM Journal on Control and Optimization | 2004-01-08 | Paper |
| Reflected forward backward stochastic differential equations and contingent claims | 2003-10-21 | Paper |
| scientific article; zbMATH DE number 1642346 (Why is no real title available?) | 2002-06-23 | Paper |
Connections between optimal stopping and singular stochastic control
Stochastic Processes and their Applications | 1999-11-18 | Paper |
Optimal control of diffusions: A verification theorem for viscosity solutions
Systems & Control Letters | 1997-02-27 | Paper |
The second order minimum principle and adjoint process
Stochastics and Stochastic Reports | 1995-10-31 | Paper |
A proof of the minimum principle using flows
Annales Polonici Mathematici | 1990-01-01 | Paper |
The Partially Observed Stochastic Minimum Principle
SIAM Journal on Control and Optimization | 1989-01-01 | Paper |
Integration by parts, homogeneous chaos expansions and smooth densities
The Annals of Probability | 1989-01-01 | Paper |
Martingale representation and the Malliavin calculus
Applied Mathematics and Optimization | 1989-01-01 | Paper |
Integration by parts and densities for jump processes
Stochastics and Stochastic Reports | 1989-01-01 | Paper |
The variational principle for optimal control of diffusions with partial information
Systems & Control Letters | 1989-01-01 | Paper |
The existence of smooth densities for the prediction filtering and smoothing problems
Acta Applicandae Mathematicae | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4117324 (Why is no real title available?) | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4133239 (Why is no real title available?) | 1989-01-01 | Paper |
A short proof of a martingale representation result
Statistics & Probability Letters | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 3989241 (Why is no real title available?) | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 4001106 (Why is no real title available?) | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3800684 (Why is no real title available?) | 1983-01-01 | Paper |
On the existence of optimal partially observed controls
Applied Mathematics and Optimization | 1982-01-01 | Paper |
Existence of optimal controls for a partially observed semimartingale
Stochastic Processes and their Applications | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3841757 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3785891 (Why is no real title available?) | 1982-01-01 | Paper |
Robust filtering for correlated multidimensional observations
Mathematische Zeitschrift | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3769481 (Why is no real title available?) | 1981-01-01 | Paper |
The variational principle and stochastic optimal control
Stochastics | 1980-01-01 | Paper |
Stochastic control by measure transformation: A general existence result
Information Sciences | 1980-01-01 | Paper |
Representation results for jump processes with application to optimal stopping
Stochastics | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3785887 (Why is no real title available?) | 1979-01-01 | Paper |
| scientific article; zbMATH DE number 3637704 (Why is no real title available?) | 1979-01-01 | Paper |
| scientific article; zbMATH DE number 3702538 (Why is no real title available?) | 1978-01-01 | Paper |
| scientific article; zbMATH DE number 3606351 (Why is no real title available?) | 1978-01-01 | Paper |
