| Publication | Date of Publication | Type |
|---|
Singular stochastic control problems motivated by the optimal sustainable exploitation of an ecosystem
SIAM Journal on Control and Optimization | 2025-06-25 | Paper |
The solution to an impulse control problem motivated by optimal harvesting
Journal of Mathematical Analysis and Applications | 2024-10-29 | Paper |
Mean–variance hedging of contingent claims with random maturity
Mathematical Finance | 2024-01-31 | Paper |
| Ergodic singular stochastic control motivated by the optimal sustainable exploitation of an ecosystem | 2020-08-12 | Paper |
Discretionary stopping of stochastic differential equations with generalised drift
Electronic Journal of Probability | 2019-12-12 | Paper |
Discretionary stopping of stochastic differential equations with generalised drift
Electronic Journal of Probability | 2019-12-12 | Paper |
Dynamical pricing of weather derivatives
Quantitative Finance | 2019-01-14 | Paper |
| Valuation of Employee Stock Options (ESOs) by means of Mean-Variance Hedging | 2017-10-02 | Paper |
Irreversible capital accumulation with economic impact
Applied Mathematics and Optimization | 2017-08-10 | Paper |
Necessary and sufficient conditions for the \(r\)-excessive local martingales to be martingales
Electronic Communications in Probability | 2017-02-07 | Paper |
Necessary and sufficient conditions for the \(r\)-excessive local martingales to be martingales
Electronic Communications in Probability | 2017-02-07 | Paper |
Watermark options
Finance and Stochastics | 2017-01-12 | Paper |
Watermark options
Finance and Stochastics | 2017-01-12 | Paper |
On the submartingale/supermartingale property of diffusions in natural scale
Proceedings of the Steklov Institute of Mathematics | 2015-08-20 | Paper |
Optimal execution with multiplicative price impact
SIAM Journal on Financial Mathematics | 2015-05-15 | Paper |
A zero-sum game between a singular stochastic controller and a discretionary stopper
The Annals of Applied Probability | 2015-02-26 | Paper |
A zero-sum game between a singular stochastic controller and a discretionary stopper
The Annals of Applied Probability | 2015-02-26 | Paper |
On the optimal stopping of a one-dimensional diffusion
Electronic Journal of Probability | 2014-01-17 | Paper |
Buy-low and sell-high investment strategies
Mathematical Finance | 2013-09-04 | Paper |
Long-term optimal investment strategies in the presence of adjustment costs
SIAM Journal on Control and Optimization | 2013-07-17 | Paper |
A model for optimally advertising and launching a product
Mathematics of Operations Research | 2012-05-24 | Paper |
A model for the long-term optimal capacity level of an investment project
International Journal of Theoretical and Applied Finance | 2011-06-10 | Paper |
The explicit solution to a sequential switching problem with non-smooth data
Stochastics | 2010-08-19 | Paper |
\(\pi \) options
Stochastic Processes and their Applications | 2010-07-08 | Paper |
A singular control model with application to the goodwill problem
Stochastic Processes and their Applications | 2008-11-14 | Paper |
Optimal dividend and issuance of equity policies in the presence of proportional costs
Insurance Mathematics & Economics | 2008-06-25 | Paper |
A Model for Reversible Investment Capacity Expansion
SIAM Journal on Control and Optimization | 2008-06-16 | Paper |
Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function
Journal of Applied Probability | 2008-02-15 | Paper |
A singular control problem with an expected and a pathwise ergodic performance criterion
Journal of Applied Mathematics and Stochastic Analysis | 2007-09-10 | Paper |
The solution to a second order linear ordinary differential equation with a non-homogeneous term that is a measure
Stochastics | 2007-03-30 | Paper |
Impulse control of one-dimensional ito diffusions with an expected and a pathwise ergodic criterion
Applied Mathematics and Optimization | 2006-10-25 | Paper |
Impulse and Absolutely Continuous Ergodic Control of One-Dimensional Itô Diffusions
From Stochastic Calculus to Mathematical Finance | 2006-10-23 | Paper |
Sequential entry and exit decisions with an ergodic performance criterion
Stochastics | 2006-09-04 | Paper |
A Model for Investments in the Natural Resource Industry with Switching Costs
Mathematics of Operations Research | 2005-11-11 | Paper |
| scientific article; zbMATH DE number 2095962 (Why is no real title available?) | 2004-08-31 | Paper |
A Problem of Sequential Entry and Exit Decisions Combined with Discretionary Stopping
SIAM Journal on Control and Optimization | 2004-01-08 | Paper |
A model for investment decisions with switching costs.
The Annals of Applied Probability | 2003-05-06 | Paper |
Finite-Fuel Singular Control With Discretionary Stopping
Stochastics and Stochastics Reports | 2002-02-19 | Paper |
On the epiconvergence of stochastic optimization problems.
Mathematics of Operations Research | 2001-11-26 | Paper |
An investment model with entry and exit decisions
Journal of Applied Probability | 2001-04-19 | Paper |
On the relationship of the dynamic programing approach and the contingent claim approach to asset valuation
Finance and Stochastics | 2000-05-24 | Paper |
A pair of explicitly solvable singular stochastic control problems
Applied Mathematics and Optimization | 1998-12-07 | Paper |
Valuation of Investments in Real Assets with Implications for the Stock Prices
SIAM Journal on Control and Optimization | 1998-09-21 | Paper |
A new proof of the discrete-time LQG optimal control theorems
IEEE Transactions on Automatic Control | 1995-11-21 | Paper |
A problem of singular stochastic control with discretionary stopping
The Annals of Applied Probability | 1994-06-19 | Paper |
The Solution to an Impulse Control Problem Motivated by Optimal Harvesting
(available as arXiv preprint) | N/A | Paper |
